/raid1/www/Hosts/bankrupt/TCR_Public/191006.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, October 6, 2019, Vol. 23, No. 278
Headlines
ACCESS GROUP 2003-A: Fitch Affirms Bsf Rating on Class B Notes
AGL CLO 1: Moody's Gives (P)Ba3 Rating on US$23.850MM Cl. E Notes
AMERICREDIT AUTOMOBILE 2019-3: DBRS Finalizes BB Rating on E Notes
APEX CREDIT 2019-II: S&P Assigns Prelim BB- Rating to Cl. E Notes
BANK 2019-BNK20: Fitch Assigns B-sf Rating on Class G Certs
BCC FUNDING XVI 2019-1: Moody's Assigns (P)Ba3 Rating on D Notes
BEAR STEARNS 2007-TOP26: Fitch Lowers Class A-J Certs to Csf
CANYON CLO 2019-2: S&P Rates $22.5MM Class E Notes 'BB- (sf)'
CARLYLE US 2019-3: S&P Rates $24MM Class D Notes 'BB- (sf)'
CARVANA AUTO 2019-3: Moody's Rates $46.5MM Class E Notes B2
CCUBS COMMERCIAL 2017-C1: Fitch Affirms Class G-RR Certs at B-sf
CIFC FUNDING 2016-I: S&P Assigns B- (sf) Rating to Class F-R Notes
CIM TRUST 2019-INV3: Moody's Assigns B2 Rating on Cl. B-5 Debt
CITIGROUP COMMERCIAL 2013-GCJ11: Fitch Hikes Cl. F Certs to Bsf
COLT 2019-4: DBRS Assigns Provisional BB Rating on Class B-1 Certs
COLT 2019-4: Fitch Assigns Bsf Rating on Class B2 Certs
COLT MORTGAGE 2019-4: Fitch to Rate Class B2 Certs 'B(EXP)'
CPS AUTO 2019-D: S&P Assigns Prelim B (sf) Rating to Cl. F Notes
CREDIT SUISSE 2007-C4: Moody's Lowers Class D Certs to C(sf)
EXETER AUTOMOBILE 2019-4: S&P Assigns Prelim BB Rating on E Notes
FANNIE MAE 2019-R06: S&P Assigns Prelim BB+ Rating on 2M-2A Notes
FIRST INVESTORS 2018-1: S&P Affirms B (sf) Rating on Class F Notes
GCAT 2019-NQM2: S&P Assigns B (sf) Rating to Class B-2 Certs
GS MORTGAGE 2019-GC42: DBRS Finalizes B(high) Rating on G-RR Debt
GS MORTGAGE 2019-GC42: Fitch Assigns B-sf Rating on Cl. G-RR Certs
JP MORGAN 2015-JP1: Fitch Affirms B-sf Rating on Class G Certs
JP MORGAN 2019-7: Moody's Assigns B2 Rating on Cl. B-5 Debt
JP MORGAN 2019-FL12: S&P Assigns BB(sf) Rating to Cl. PLC2 Certs
JP MORTGAGE 2019-INV2: Fitch Rates $3.876MM Class B-5 Notes Bsf
KKR CLO 27: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
LB COMMERCIAL 2007-C3: Moody's Cuts Class C Debt Rating to Csf
MADISON PARK XXXIII: S&P Assigns Prelim BB- (sf) Rating to E Notes
MORGAN STANLEY 2013-C11: Moody's Lowers Cl. E Certs Rating to Caa1
MORGAN STANLEY 2013-C13: Fitch Affirms B- Rating on Class G Certs
MORGAN STANLEY 2017-HR2: Fitch Affirms Class H-RR Debt at B-sf
MSJP COMMERCIAL 2015-HAUL: Fitch Affirms BBsf Rating on Cl. E Debt
MUSKOKA 2018-1: DBRS Hikes Rating on Class D Notes to BB(high)
NEW RESIDENTIAL 2019-5: Moody's Rates Class B-8 Notes (P)B2(sf)
NEW RESIDENTIAL 2019-NQM4: DBRS Finalizes B Rating on Cl. B-2 Notes
NRZ ADVANCE 2019-T4: S&P Assigns Prelim 'BB' Rating to E-T4 Notes
PAWNEE EQUIPMENT 2019-1: DBRS Gives Prov. BB Rating on Cl. E Notes
PURCHASING POWER 2018-A: DBRS Confirms BB Rating on Class C Debt
RAMP TRUST 2005-EFC4: Moody's Hikes Class M-5 Debt to Ba1
RCKT MORTGAGE 2019-1: Moody's Gives (P)B1 Rating on Class B-5 Debt
REALT 2017: Fitch Affirms Bsf Rating on Class G Certs
RESIDENTIAL 2019-3: S&P Assigns Prelim 'B' Rating to Cl. B-2 Notes
SANTANDER DRIVE 2018-2: Fitch Upgrades Class E Debt to BBsf
SEQUOIA MORTGAGE 2019-3: Moody's Affirms Class B-4 Debt at Ba3
SKOPOS AUTO 2019-1: DBRS Finalizes B Rating on Class E Notes
SOUND POINT XXIV: Moody's Rates $24MM Cl. E Notes 'Ba3'
UBS COMMERCIAL 2017-C4: Fitch Affirms B-sf Rating on 2 Tranches
WAMU MORTGAGE 2007-OA4: Moody's Cuts Cl. 2X-PPP Certs to C
WELLS FARGO 2015-C31: Fitch Affirms BB-sf Rating on Class E Certs
WELLS FARGO 2019-3: DBRS Finalizes BB Rating on Class B-4 Certs
WFRBS COMMERCIAL 2011-C2: Moody's Affirms Class F Certs at B2
[*] S&P Takes Various Actions on 111 Classes From 24 US RMBS Deals
[*] S&P Takes Various Actions on 124 Classes From 48 US RMBS Deals
*********
ACCESS GROUP 2003-A: Fitch Affirms Bsf Rating on Class B Notes
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Fitch Ratings taken the following rating actions on notes of Access
Group Inc., 2002-A, 2003-A, 2004-A, 2005-A, 2005-B, 2007-A and
Access Funding 2010-A LLC.
Access Group, Inc. - Private Student Loan Notes, Series 2003-A
Class A-2 00432CAU5; LT AAAsf Affirmed; previously at AAAsf
Class A-3 00432CAV3; LT AAAsf Affirmed; previously at AAAsf
Class B 00432CAW1; LT Bsf Affirmed; previously at Bsf
Access Group, Inc. - Private Student Loan Notes, Series 2007-A
Class A-3 00432CDJ7; LT AAAsf Affirmed; previously at AAAsf
Class B 00432CDK4; LT BBB+sf Affirmed; previously at BBB+sf
Access Group, Inc. - Private Student Loan Notes, Series 2005-B
Class A-3 00432CCW9; LT AAAsf Affirmed; previously at AAAsf
Access Funding 2010-A LLC
Class A 00434EAA3; LT AAAsf Affirmed; previously at AAAsf
Access Group, Inc. - Private Student Loan Notes, Series 2002-A
Class A-2 00432CAR2; LT Asf Affirmed; previously at Asf
Class B 00432CAS0; LT CCCsf Affirmed; previously at CCCsf
Access Group, Inc. - Private Student Loan Notes, Series 2004-A
Class A-3 00432CBH3; LT Asf Upgrade; previously at BBBsf
Class A-4 00432CBJ9; LT Asf Upgrade; previously at BBBsf
Class B-1 00432CBK6; LT Bsf Affirmed; previously at Bsf
Access Group, Inc. - Private Student Loan Notes, Series 2005-A
Class A-3 00432CCJ8; LT AAAsf Affirmed; previously at AAAsf
Class B 00432CCC3; LT BBB-sf Affirmed; previously at BBB-sf
TRANSACTION SUMMARY
The rating actions reflect the transactions' performance and credit
enhancement. Performance metrics have not changed materially since
the last review.
Access 2004-A, Class A has been upgraded as principal redemption of
this class has resumed since class B-2 has been paid in full. An
irrevocable Issuer Order dated Oct. 30, 2017 previously directed
the trustee to redeem class B-2 prior to all other classes. Cash
flow analysis was performed for only 2004-A.
KEY RATING DRIVERS
Collateral Performance: The trust is collateralized by private
student loans originated by Access Group. Transaction performance
has been in line with Fitch's expectations from the last review.
Fitch's key performance assumptions remain unchanged with a sCDR of
1.75% and principal payment rates of 20% for all transactions
except 2007-A and 2010-A where 17% is assumed.
Payment Structure: Credit enhancement consists of
overcollateralization and excess spread and for some trusts, senior
notes benefit from subordination of more junior notes. Total parity
as of the most recent distribution was at approximately 100.5% for
2002-A, at the cash release levels of 102% for 2003-A and 2004-A
and 103% for 2005-A, 2005-B, and 2007-A and 200% for 2010-A.
Liquidity support is provided by reserve accounts of $400,000 for
2003-A and 2004-A, $1.0 million for 2005-A and 2005-B, $2.0 million
for 2007-A and $1.2 million for 2010-A. Access 2002-A does not have
a reserve account.
Operational Capabilities: Day-to-day servicing is provided by
Nelnet Inc., which Fitch believes to be an acceptable servicer of
student loans due to their long servicing history.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults or write-offs
on customer accounts could produce loss levels higher than the base
case and would likely result in declines of CE and remaining loss
coverage levels available to the investments. Decreased CE may make
certain ratings on the investments susceptible to potential
negative rating actions, depending on the extent of the decline in
coverage.
The rating sensitivity results only applies to Access 2004-A as
cash flow analysis was not performed for the other transactions.
Rating sensitivities only apply for existing ratings above 'Bsf'.
Access 2004-A
Expected impact on the note rating of increased defaults (class A)
Current Ratings:'Asf'
Increase base case defaults by 10%: 'A-sf'
Increase base case defaults by 25%: 'BBB+sf'
Increase base case defaults by 50%: 'BBB-sf'
Expected impact on the note rating of reduced recoveries
Reduce base case recoveries by 100%: 'Asf'
Reduce base case recoveries by 20%: 'Asf'
Reduce base case recoveries by 30%: 'A-sf'
AGL CLO 1: Moody's Gives (P)Ba3 Rating on US$23.850MM Cl. E Notes
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Moody's Investors Service assigned provisional ratings to five
classes of debt to be issued by by AGL CLO 1 Ltd.
Moody's rating action is as follows:
US$288,000,000 Class A Loans maturing 2032 (the "Class A Loans"),
Assigned (P)Aaa (sf)
US$50,400,000 Class B Senior Secured Floating Rate Notes due 2032
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$20,920,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class C Notes"), Assigned (P)A2 (sf)
US$28,570,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$23,850,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Loans, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Debt."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.
AGL CLO 1 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash and eligible investments, and
up to 10% of the portfolio may consist of second lien loans and
unsecured loans. Moody's expects the portfolio to be approximately
80% ramped as of the closing date.
AGL CLO Credit Management LLC will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, subject to certain restrictions, the Manager may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets. This is the Manager's first CLO.
In addition to the Rated Debt, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the debt in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2875
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Debt.
AMERICREDIT AUTOMOBILE 2019-3: DBRS Finalizes BB Rating on E Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by AmeriCredit Automobile Receivables Trust
2019-3 (AMCAR 2019-3 or the Issuer):
-- $158,000,000 of Class A-1 at R-1 (high) (sf)
-- $200,940,000 of Class A-2-A at AAA (sf)*
-- $50,000,000 of Class A-2-B at AAA (sf)*
-- $172,610,000 of Class A-3 at AAA (sf)
-- $63,120,000 of Class B at AA (sf)
-- $78,350,000 of Class C at A (sf)
-- $77,040,000 of Class D at BBB (sf)
-- $20,460,000 of Class E at BB (sf)
*The total Class A-2 size is $250,940,000, split between Classes
A-2-A and Classes A-2-B. Class A-2-B is floating rate.
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.
-- AmeriCredit Financial Services, Inc.'s (AmeriCredit)
capabilities with regard to originations, underwriting and
servicing and ownership by General Motors Company (rated BBB (high)
with a Stable trend by DBRS).
-- The credit quality of the collateral and performance of
AmeriCredit's auto loan portfolio.
-- The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
non-consolidation of the special-purpose vehicle with AmeriCredit,
that the trust has a valid first-priority security interest in the
assets and the consistency with DBRS's "Legal Criteria for U.S.
Structured Finance."
The receivables securitized in AMCAR 2019-3 will be subprime auto
loan contracts secured by new and used automobiles, light-duty
trucks and vans.
This transaction is structured as a public transaction offering
four classes of notes: Class A (split into three sequential
tranches — Classes A-1, A-2 and A-3), Class B, Class C and Class
D. The Class E Notes are not publicly offered and are initially
being retained by the Depositor or an affiliate thereof. Initial
Class A credit enhancement of 35.20% includes a reserve account
(2.00% of the initial pool balance; funded at inception and
non-declining), overcollateralization (OC) of 5.75% and
subordination of 27.45% of the initial pool balance. Initial Class
B enhancement of 27.95% includes a 2.00% reserve account, 5.75% OC
and 20.20% subordination. Initial Class C enhancement of 18.95%
includes a 2.00% reserve account, 5.75% OC and 11.20%
subordination. Initial Class D enhancement of 10.10% includes a
2.00% reserve account, 5.75% OC and 2.35% subordination. OC will
build to a target of 14.75% of the pool balance, less the amount on
deposit in the reserve account, based on excess spread available in
the structure and will be subject to a floor of 0.50% of the
initial pool balance.
Notes: All figures are in U.S. dollars unless otherwise noted.
APEX CREDIT 2019-II: S&P Assigns Prelim BB- Rating to Cl. E Notes
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S&P Global Ratings assigned its preliminary ratings to Apex Credit
CLO 2019-II Ltd.'s fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade (rated
'BB+' and lower) senior secured term loans managed by Apex Credit
Partners LLC (Apex), a subsidiary wholly-owned by Jefferies Finance
LLC.
The preliminary ratings are based on information as of Oct. 1,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Apex Credit CLO 2019-II Ltd./Apex Credit CLO 2019-II LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 248.00
A-2 AAA (sf) 16.00
B AA (sf) 42.50
C-1 (deferrable) A (sf) 20.00
C-F (deferrable) A (sf) 2.00
D (deferrable) BBB- (sf) 20.00
E (deferrable) BB- (sf) 22.00
Subordinated notes NR 38.35
NR--Not rated.
BANK 2019-BNK20: Fitch Assigns B-sf Rating on Class G Certs
-----------------------------------------------------------
Fitch Ratings assigned the following ratings and Rating
Outlooks to BANK 2019-BNK20 Commercial Mortgage Pass-Through
Certificates Series 2019-BNK20:
-- $26,600,000 class A-1 'AAAsf'; Outlook Stable;
-- $47,100,000 class A-SB 'AAAsf'; Outlook Stable;
-- $350,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $399,221,000 class A-3 'AAAsf'; Outlook Stable;
-- $822,921,000a class X-A 'AAAsf'; Outlook Stable;
-- $238,059,000a class X-B 'A-sf'; Outlook Stable;
-- $146,950,000 class A-S 'AAAsf'; Outlook Stable;
-- $45,555,000 class B 'AA-sf'; Outlook Stable;
-- $45,554,000 class C 'A-sf'; Outlook Stable;
-- $47,024,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $27,921,000b class D 'BBBsf'; Outlook Stable;
-- $19,103,000b class E 'BBB-sf'; Outlook Stable;
-- $22,043,000b class F 'BB-sf'; Outlook Stable;
-- $11,756,000b class G 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $33,799,042b class H;
-- $61,873,792c RR Interest.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Represents the eligible vertical credit risk retention
interest.
Since Fitch published its expected ratings on Sept. 9, 2019, the
balances for classes A-2 and A-3 were finalized. At the time that
the expected ratings were published the initial certificate
balances of classes A-2 and A-3 were unknown and expected to be
approximately $749,221,000 in aggregate, subject to a 5% variance.
The final class balances for classes A-2 and A-3 are $350,000,000
and $399,221,000, respectively. The classes above reflect the final
ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 72 loans secured by 95
commercial properties having an aggregate principal balance of
$1,237,475,835 as of the cut-off date. The loans were contributed
to the trust by Wells Fargo Bank, National Association, Morgan
Stanley Mortgage Capital Holdings LLC, Bank of America, National
Association and National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.3% of the properties
by balance, cash flow analysis of 82.2%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: Overall, the pool's Fitch DSCR of 1.80x is
better than average when compared to the 2018 and 2019 YTD average
of 1.22x and 1.21x, respectively. The pool's LTV of 91.3% is lower
than the 2018 and 2019 YTD average of 102.0% and 102.0%,
respectively. Excluding the co-op and credit assessed collateral,
the pool has a respective Fitch DSCR and LTV of 1.29 and 105.1%,
respectively.
Credit Opinion Loans: Four loans representing 18.3% of the pool are
credit assessed. This is significantly above the 2019 YTD and 2018
values of 14.5% and 13.6%, respectively.
The following four loans received stand-alone credit opinions of
'BBB-sf*': The Park Tower at Transbay loan (9.7% of the pool),
Solstice on The Park loan (3.7% of the pool), Grand Canal Shoppes
loan (3.2% of the pool) and the Residence Inn Seattle loan (1.8% of
the pool).
Above Average Collateral Quality: The pool's collateral quality is
higher than that of recent transactions. As a percentage of
Fitch-inspected properties, 34.2% of Fitch inspected properties
received a grade of 'A-' or better, above the 2019 YTD and 2018
averages of 23.6% and 20.5%, respectively. The following five
properties received property grades of 'A-' or 'A': The Park Tower
at Transbay (9.7% of pool), The Tower at Burbank (8.1% of pool),
Solstice on the Park (3.6% of pool), Grand Canal Shoppes (3.2%) and
Residence Inn Seattle (1.8% of pool). As a percentage of
Fitch-inspected properties, 58.1% received a property quality grade
of 'B+' or higher, which is higher than the respective YTD 2019 and
2018 averages of 51.5% and 48.9%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 10.2% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the BANK
2019-BNK20 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
BCC FUNDING XVI 2019-1: Moody's Assigns (P)Ba3 Rating on D Notes
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Moody's Investors Service assigned provisional ratings to the notes
to be issued by BCC Funding XVI LLC, Series 2019-1. This is Balboa
Capital Corporation's (Unrated) first transaction of the year. The
notes will be backed by a pool of small and mid-ticket equipment
loans and leases primarily originated by BCC, who is also the
servicer and administrator for the transaction.
The complete rating actions are as follows:
Issuer: BCC Funding XVI LLC, Series 2019-1
Equipment Contract Backed Notes, Series 2019-1, Class A-2, Assigned
(P)Aa2 (sf)
Equipment Contract Backed Notes, Series 2019-1, Class B, Assigned
(P)A1 (sf)
Equipment Contract Backed Notes, Series 2019-1, Class C, Assigned
(P)Baa2 (sf)
Equipment Contract Backed Notes, Series 2019-1, Class D, Assigned
(P)Ba3 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying equipment
contract pool and its expected performance, the strength of the
capital structure, and the experience and expertise of BCC as the
servicer.
Moody's median cumulative net loss expectation for the BCC 2019-1
collateral pool is 4.00%, 25 basis points higher than the initial
cumulative net loss expectation of the 2018-1 pool. Moody's based
its cumulative net loss expectation for the BCC 2019-1 pool on the
credit quality of the underlying collateral; the historical
securitization performance and managed portfolio performance of
similar collateral; the ability of BCC to perform the servicing
functions; and its expectations of the macroeconomic environment
during the life of the transaction.
At closing the Class A-2, Class B, Class C, and Class D notes will
benefit from 26.00%, 17.25%, 13.50% and 7.50% of hard credit
enhancement respectively. Hard credit enhancement for the notes
consists of initial overcollateralization of 6.00% and a
non-declining reserve account of 1.50% and subordination. The notes
will also benefit from excess spread.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in March 2019.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings on the notes if levels of credit
protection are greater than necessary to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the equipment that secure the obligor's promise of
payment. As the primary drivers of performance, positive changes in
the US macro economy and the performance of various sectors where
the lessees operate could also affect the ratings.
Down
Moody's could downgrade the ratings of the notes if levels of
credit protection are insufficient to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be worse than its original expectations because of higher
frequency of default by the underlying obligors of the contracts or
a greater than expected deterioration in the value of the equipment
that secure the obligor's promise of payment. As the primary
drivers of performance, negative changes in the US macro economy
could also affect Moody's ratings. Other reasons for worse
performance than Moody's expectations could include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
BEAR STEARNS 2007-TOP26: Fitch Lowers Class A-J Certs to Csf
------------------------------------------------------------
Fitch Ratings downgraded one class and affirmed 14 classes of Bear
Stearns Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates, series 2007-TOP26.
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26
Current Rating Prior Rating
Class A-J 07388VAH1; LT Csf Downgrade; previously at CCsf
Class A-M 07388VAG3; LT AAAsf Affirmed; previously at AAAsf
Class B 07388VAJ7; LT Csf Affirmed; previously at Csf
Class C 07388VAK4; LT Csf Affirmed; previously at Csf
Class D 07388VAL2; LT Dsf Affirmed; previously at Dsf
Class E 07388VAM0; LT Dsf Affirmed; previously at Dsf
Class F 07388VAN8; LT Dsf Affirmed; previously at Dsf
Class G 07388VAP3; LT Dsf Affirmed; previously at Dsf
Class H 07388VAQ1; LT Dsf Affirmed; previously at Dsf
Class J 07388VAR9; LT Dsf Affirmed; previously at Dsf
Class K 07388VAS7; LT Dsf Affirmed; previously at Dsf
Class L 07388VAT5; LT Dsf Affirmed; previously at Dsf
Class M 07388VAU2; LT Dsf Affirmed; previously at Dsf
Class N 07388VAV0; LT Dsf Affirmed; previously at Dsf
Class O 07388VAW8; LT Dsf Affirmed; previously at Dsf
KEY RATING DRIVERS
High Loss Expectations from One AT&T Center: Loss expectations
remain high due to the exposure to AT&T Center (35.3%), which is
secured by a 1.46 million square foot (sf) office building located
in St. Louis, MO. The property was previously fully-occupied by
AT&T, but the company vacated prior to its lease expiration in
September 2017. The loan transferred to the special servicer in
March 2017, and the trust took title to the property through
foreclosure in August 2017. The servicer reports that an acceptable
offer was received after an auction process. Fitch continues to
expect significant losses upon liquidation; the downgrade of
distressed class A-J reflects the expectation that losses will
impact the class.
Increase in Credit Enhancement: Credit enhancement has improved
since Fitch's last rating action due to continued amortization and
the liquidation of four specially serviced assets. The affirmation
of class A-M reflects the defeased collateral. 57.6% of the pool is
defeased with the majority consisting of the One Hammarskjold Plaza
loan (55.4%), which has an anticipated repayment date (ARD) of Feb.
1, 2022 and a final maturity date of Feb. 1, 2037. The other
defeased loan (2.3%) matures in 2020. Of the other remaining loans,
three loans (2%) mature in 2022, and two loans (0.8%) mature in
2027.
RATING SENSITIVITIES
The Rating Outlook for class A-M remains Stable based on the senior
position of the class within the capital structure, continued
paydown and sufficient protection against losses from the
subordinate classes. Further downgrades to the distressed classes
are likely as losses are realized from the liquidation of One AT&T
Center.
CANYON CLO 2019-2: S&P Rates $22.5MM Class E Notes 'BB- (sf)'
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Canyon CLO 2019-2
Ltd./Canyon CLO 2019-2 LLC's floating-rate notes.
The note issuance is a CLO transaction backed primarily by broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.
The ratings reflect:
-- The diversified collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Canyon CLO 2019-2 Ltd./Canyon CLO 2019-2 LLC
Class Rating Amount (mil. $)
A AAA (sf) 320.00
B AA (sf) 60.00
C (deferrable) A (sf) 30.00
D (deferrable) BBB (sf) 25.00
E (deferrable) BB- (sf) 22.50
Subordinated notes NR 48.25
NR--Not rated.
CARLYLE US 2019-3: S&P Rates $24MM Class D Notes 'BB- (sf)'
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Carlyle US CLO 2019-3
Ltd./Carlyle US CLO 2019-3 LLC's floating-rate notes.
The note issuance is a CLO transaction backed by a diversified
collateral pool, which consists primarily of broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.
The ratings reflect:
-- The diversified collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Carlyle US CLO 2019-3 Ltd./Carlyle US CLO 2019-3 LLC
Class Rating Amount (mil. $)
A-1a AAA (sf) 372.00
A-1b AAA (sf) 12.00
A-2a AA (sf) 33.50
A-2F AA (sf) 38.50
B (deferrable) A (sf) 36.00
C-1 (deferrable) BBB+ (sf) 26.00
C-2 (deferrable) BBB- (sf) 10.00
D (deferrable) BB- (sf) 24.00
Subordinated notes NR 54.33
NR--Not rated.
CARVANA AUTO 2019-3: Moody's Rates $46.5MM Class E Notes B2
-----------------------------------------------------------
Moody's Investors Service assigned definitive ratings to the notes
issued by Carvana Auto Receivables Trust 2019-3. This is the third
144A auto loan transaction for Carvana, LLC, an indirect wholly
owned subsidiary of Carvana Co. (B3 stable). The notes will be
backed by a pool of retail automobile loan contracts originated by
Carvana, who is also the administrator of the transaction.
Bridgecrest Credit Company, LLC (Bridgecrest Credit), an indirect
wholly owned subsidiary of DriveTime Auto Group (B3 stable), will
be the servicer of the transaction.
Issuer: Carvana Auto Receivables Trust 2019-3
$70,000,000, 2.21413%, Class A-1 Notes, Definitive Rating Assigned
P-1 (sf)
$130,000,000, 2.42%, Class A-2 Notes, Definitive Rating Assigned
Aaa (sf)
$115,300,000, 2.34%, Class A-3 Notes, Definitive Rating Assigned
Aaa (sf)
$93,900,000, 2.51%, Class B Notes, Definitive Rating Assigned Aa2
(sf)
$57,900,000, 2.71%, Class C Notes, Definitive Rating Assigned A2
(sf)
$69,600,000, 3.04%, Class D Notes, Definitive Rating Assigned Baa3
(sf)
$46,500,000, 4.60%, Class E Notes, Definitive Rating Assigned B2
(sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
originated by Carvana and its expected performance, the strength of
the capital structure, the experience and expertise of Bridgecrest
Credit as the servicer and the presence of First Associates Loan
Servicing, LLC (unrated) as the backup servicer.
Moody's median cumulative net loss expectation for the 2019-3 pool
is 11% and the loss at a Aaa stress is 50%. The loss levels for
2019-3 are unchanged relative to 2019-2, the last transaction
Moody's rated. Moody's based its cumulative net loss expectation on
an analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral including Carvana's
managed portfolio performance; the ability of Bridgecrest Credit to
perform the servicing functions; and current expectations for the
macroeconomic environment during the life of the transaction.
At closing, the Class A notes, Class B notes, Class C notes Class D
notes and Class E notes are to benefit from 48.70%, 33.05%, 23.40%,
11.80% and 4.05% of hard credit enhancement, respectively. Hard
credit enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account and
subordination except for the Class E notes which do not benefit
from subordination. The notes may also benefit from excess spread.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
March 2019.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the subordinated notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.
Down
Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud. Additionally, Moody's
could downgrade the Class A-1 short-term rating following a
significant slowdown in principal collections that could result
from, among other things, high delinquencies or a servicer
disruption that impacts obligor's payments.
CCUBS COMMERCIAL 2017-C1: Fitch Affirms Class G-RR Certs at B-sf
----------------------------------------------------------------
Fitch Ratings affirmed 15 classes of CCUBS Commercial Mortgage
Trust 2017-C1 commercial mortgage pass-through certificates.
CCUBS 2017-C1
Current Rating Prior Rating
Class A-1 12508GAQ9; LT AAAsf Affirmed; previously at AAAsf
Class A-2 12508GAR7; LT AAAsf Affirmed; previously at AAAsf
Class A-3 12508GAT3; LT AAAsf Affirmed; previously at AAAsf
Class A-4 12508GAU0; LT AAAsf Affirmed; previously at AAAsf
Class A-S 12508GAX4; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 12508GAS5; LT AAAsf Affirmed; previously at AAAsf
Class B 12508GAY2; LT AA-sf Affirmed; previously at AA-sf
Class C 12508GAZ9; LT A-sf Affirmed; previously at A-sf
Class D 12508GAA4; LT BBBsf Affirmed; previously at BBBsf
Class D-RR 12508GAC0; LT BBB-sf Affirmed; previously at BBB-sf
Class E-RR 12508GAE6; LT BB+sf Affirmed; previously at BB+sf
Class F-RR 12508GAG1; LT BB-sf Affirmed; previously at BB-sf
Class G-RR 12508GAJ5; LT B-sf Affirmed; previously at B-sf
Class X-A 12508GAV8; LT AAAsf Affirmed; previously at AAAsf
Class X-B 12508GAW6; LT AA-sf Affirmed; previously at AA-sf
KEY RATING DRIVERS
Stable Performance: Pool performance remains stable since issuance.
There have been no specially serviced or delinquent loans since
issuance. No loans have defeased and there are no loans currently
on the servicer's watchlist.
Minimal Changes to Credit Enhancement: The deal closed in October
2017. Since then, the pool has amortized 0.44%. Twenty-one loans
representing 71.8% of the pool balance are interest only for the
full term. An additional six loans representing 12.66% of the pool
were structured with partial interest-only periods, none of which
have begun amortizing. Five loans representing 17.1% of the pool
are scheduled to mature in 2022, and all remaining loans are
scheduled to mature in 2027.
Additional Consideration: As part of Fitch's analysis at issuance,
two loans were assigned investment-grade credit opinions on a
standalone basis. General Motors Building (6.86% of the pool) was
assigned a credit opinion of 'AAAsf' on a standalone basis and
Yorkshire & Lexington Towers (3.6% of the pool) was assigned a
credit opinion of 'BBBsf' on a standalone basis.
RATING SENSITIVITIES
The Rating Outlooks for all classes remain Stable due to the
overall stable performance of the pool. Future upgrades may occur
with improved pool performance and additional paydown or
defeasance. Downgrades may be possible should a material
asset-level or economic event adversely affect pool performance.
CIFC FUNDING 2016-I: S&P Assigns B- (sf) Rating to Class F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class X,
A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, E-R, and F-R notes from CIFC
Funding 2016-I Ltd./CIFC Funding 2016-I LLC, a collateralized loan
obligation (CLO) transaction originally issued in 2016 that is
managed by CIFC Asset Management LLCs.
On the Sept. 27, 2019, refinancing date, the proceeds from the
replacement notes were used to redeem the original class A, B, C,
D, and E notes as outlined in the transaction document provisions.
S&P did not rate the transaction prior to this refinancing, but its
are now assigning ratings to the replacement notes.
This CLO transaction is primarily backed by broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.
The ratings reflect S&P's assessment of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC
Replacement class Rating Amount (mil $)
X AAA (sf) 1.10
A-1-R AAA (sf) 298.00
A-2-R AAA (sf) 24.50
B-R AA (sf) 57.50
C-R (deferrable) A (sf) 30.00
D-1-R (deferrable) BBB+ (sf) 17.50
D-2-R (deferrable) BBB- (sf) 12.50
E-R (deferrable) BB- (sf) 20.00
F-R (deferrable) B- (sf) 4.00
Subordinated notes NR 49.25
NR--Not rated.
CIM TRUST 2019-INV3: Moody's Assigns B2 Rating on Cl. B-5 Debt
--------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 24 classes
of residential mortgage-backed securities issued by CIM Trust
2019-INV3. The ratings range from Aaa (sf) to B2 (sf).
CIM Trust 2019-INV3, the fourth rated transaction sponsored by
Chimera Investment Corporation in 2019, is a prime RMBS
securitization of primarily fixed-rate agency-eligible mortgages
secured by first liens on non-owner occupied residential investor
properties with original term to maturity of up to 30 years.
As of the cut-off date of September 1, 2019, the pool contains of
1405 mortgage loans with an aggregate principal balance of
$353,199,022 secured by one- to four-family residential properties,
planned unit developments, townhouses and condominiums. The 1405
mortgage loans consist of 1,399 newly originated fixed rate
agency-eligible mortgage loans secured by first liens on non-owner
occupied residential investor properties with original terms to
maturity up to 30 years and 6 seasoned jumbo fixed rate mortgage
loans (Jumbo Loans) with original terms to maturity of 30 years
secured by first liens on one-family residential properties, each
originated prior to January 10, 2014.The average stated principal
balance is $251,387 and the weighted average (WA) current mortgage
rate is 5.0%. The mortgage pool has a WA seasoning of 4.9 months.
The borrowers have a WA credit score of 772, WA combined
loan-to-value ratio (CLTV) of 68% and WA debt-to-income ratio (DTI)
of 32.7%. Approximately 9.2% of the pool balance is related to
borrowers with more than one mortgage loan in the pool (a total of
109 loans among 49 unique borrowers). Most of the properties are
located in California (31% by balance).
With an exception of the Jumbo Loans, all of the loans were
originated in accordance with Freddie Mac and Fannie Mae
guidelines, which take into consideration, among other factors, the
income, assets, employment and credit score of the borrower. Except
for the Jumbo Loans, all the loans were run through one of the
government-sponsored enterprises' automated underwriting systems
(AUS) and received an "Approve" or "Accept" recommendation. The
Jumbo Loans, each originated prior to January 10, 2014, were
generally underwritten in accordance with the applicable
underwriting guidelines of the respective originator and were
evaluated for compliance with criteria that satisfies the
acquisition criteria implemented by the sponsor.
The mortgage loans were acquired by the affiliate of the Sponsor,
Fifth Avenue Trust from Bank of America, National Association. BANA
acquired the mortgage loans through its whole loan purchase program
from various originators. The Sponsor, a publicly traded real
estate investment trust, is the parent of the Seller.
Twenty-two (22) of the mortgage loans, representing 1.74% of the
aggregate stated balance as of the cut-off date, have been 30 days
or more delinquent and are now current under the methodology used
by the Mortgage Bankers Association. For the 18 mortgage loans that
had been 30 days or more delinquent prior to the cut-off date, the
delinquency occurred around the time of a servicing transfer and
the sponsor confirmed that these delinquencies were related to the
transfer of the servicing on such mortgage loans. The remaining
balance of 4 loans (about 0.26% by balance) were deemed not to be
related solely to the transfer of the servicing and have been 30
days or more delinquent during most recent 12-month pay history but
are now current. Moody's took this information along with other
loan level compensating factors such as liquid reserves, income,
DTI and LTV into consideration in its analysis.
Except for the Jumbo Loans, each mortgage loan was represented by
the related originator to be secured by an investment property
(which includes for such purpose both business purpose loans and
personal use loans). None of the "business-purpose" mortgage loans
included in CIM Trust 2019-INV3 are qualified residential mortgages
under U.S. risk retention rules. All of the personal use loans are
"qualified mortgages" under Regulation Z as result of the temporary
provision allowing qualified mortgage status for loans eligible for
purchase, guaranty, or insurance by Fannie Mae and Freddie Mac (and
certain other federal agencies). The Jumbo Loans were originated
prior to January 10, 2014, and are therefore not subject to the ATR
Rules. As of the closing date, the Sponsor or a majority-owned
affiliate of the Sponsor will retain an eligible horizontal
residual interest with a fair value of at least 5% of the aggregate
fair value of the certificates issued by the trust, which is
expected to satisfy U.S. risk retention rules.
Shellpoint Mortgage Servicing, AmeriHome Mortgage Company LLC and
TIAA, FSB, formerly known as EverBank will service about 53.1%,
43.9% and 2.9% of the mortgage loan pool by balance, respectively.
With respect to the AmeriHome mortgage loans, it is anticipated
that substantially all of the servicing duties will be performed
through Cenlar FSB, as the subservicer designated by AmeriHome.
Wells Fargo Bank, N.A. will be the master servicer.
CIM Trust 2019-INV3 has a shifting interest structure with a
five-year lockout period that benefits from a senior subordination
floor and a subordinate floor.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow model. In its analysis of tail
risk, Moody's considered the increased risk from borrowers with
more than one mortgage in the pool.
The complete rating actions are as follows:
Issuer: CIM Trust 2019-INV3
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Definitive Rating Assigned Aa1 (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-1A, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-2A, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 1.10%
in a base scenario and reaches 9.45% at a stress level consistent
with the Aaa (sf) ratings.
Its loss estimates are based on a loan-by-loan assessment of the
securitized collateral pool as of the cut-off date using Moody's
Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included adjustments to borrower
probability of default for higher and lower borrower debt-to-income
ratios (DTIs), for borrowers with multiple mortgaged properties,
self-employed borrowers, and for risks related to mortgaged
properties in Homeownership associations (HOAs) in super lien
states. Its loss levels and definitive ratings on the certificates
also took into consideration qualitative factors such as the
results of the third-party due diligence review, origination
quality, the servicing arrangement, alignment of interest of the
Sponsor with investors, the representations and warranties (R&W)
framework and the transaction's legal structure and documentation.
Collateral Description
The CIM Trust 2019-INV3 transaction is a securitization of 1,405
fixed rate agency-eligible mortgage loans secured by first liens on
non-owner occupied residential investor properties with original
terms to maturity up to 30 years (98.1% of pool balance between
25-30 years) with an unpaid principal balance of $353,199,022. The
mortgage pool has a weighted average (WA) seasoning of 4.9 months.
The loans in this transaction have strong borrower characteristics
with a WA original FICO score of 772 and a WA original combined
loan-to-value ratio (CLTV) of 68.3%. In addition, 26.6% of the
borrowers are self-employed and refinance loans (rate/term and cash
out) comprise about 41% of the aggregate pool. The pool has a high
geographic concentration with 31% of the aggregate pool located in
California and 10% located in the Los Angeles-Long Beach-Anaheim,
CA MSA. The characteristics of the loans underlying the pool are
generally comparable to CIM Trust 2019-INV3.
Origination Quality
The Seller acquired the Mortgage Loans from BANA. BANA acquired the
loans in the pool from 9 different originators. The largest
originators in the pool with more than 10% by balance are AmeriHome
(44.0%) and Caliber Home Loans, Inc. (Caliber, 19.7%). The mortgage
loans acquired by the Seller pursuant to the CIM 2019-INV3
acquisition criteria. Generally, each mortgage loan must (i) be
underwritten to conform to the GSE's underwriting standards and
have valid findings and an "Approve" or "Accept" response from the
requirements of the DU/LP Programs, (ii) have a representative FICO
score of greater than or equal to 680, (iii) have a maximum debt to
income ratio of 45% and (iv) have a loan-to-value ratio of less
than or equal to 80%. Moody's took into consideration the
origination quality of these originators and factored it in its
analysis. Moody's increased its base case and Aaa loss assumption
for the loans originated by Home Point Financial Corporation (5.3%
by balance) due to limited historical performance data, reduced
retail footprints which will limit the seller's oversight on
originations and lack of strong controls to support recent rapid
growth.
Amerihome: Headquartered in Westlake Village, California, AmeriHome
is an agency seller and servicer which focuses on Ginnie Mae,
Fannie Mae and Freddie Mac eligible loans. The company was
originally called Aris Mortgage and was founded in 2013. Aris
Mortgage adopted the Amerihome name shortly thereafter in 2014.
Amerihome purchased over $1 billion loans in March of 2015 and
continued to rapidly grow, acquiring about $2.0 to $3.5 billion a
month thereafter. Approximately 60% of AmeriHome's acquisitions are
conventional conforming with the remaining being government
insured. AmeriHome's has a very small jumbo and expanded credit
program. AmeriHome uses Cenlar FSB as its primary subservicer (99%
of its portfolio) with LoanCare subservicing about 1% of the
portfolio. Strength include being consistently profitable since
2015 and having well written guidelines in place. Challenges
include rapid growth, acquiring approximately $70 billion of loans
in the past few years.
Caliber: Headquartered in Coppell, TX, Caliber is a national
non-bank with a focus on residential mortgage origination and
servicing. Caliber originates both agency and non-agency loans.
Formed in August 2013, Caliber is a wholly owned subsidiary of LSF6
Service Operations, LLC, a holding company that is ultimately owned
by Lone Star Funds. Lone Star Funds is a private equity firm with a
focus on real estate and mortgage finance and provides a dedicated
takeout for a portion of Caliber's non-agency mortgage production.
The strongest features of this originator are strong appraisal
policies and procedures, which includes diligent appraisal
management company (AMC) and individual appraisal oversight
process, highly customized loan origination system which
significantly enhances its ability to produce high quality loans
and deliver reliable data. Additionally, Caliber continues to
invest in technology and expand its technology team to support
growth. Of note, the company has grown rapidly over the past few
years and such growth has also been accompanied by a significant
reorganization in senior management since its last review.
Caliber's strategic growth initiatives emphasize sourcing purchase
money loans and it plans to continue to expand its retail footprint
through organic growth by hiring larger teams, acquiring and
opening new branches in strategic locations, pursuing opportunistic
acquisitions, offering new non-agency products and expanding the
use of marketing tools such as social media presence.
Servicing Arrangement
Moody's considers the overall servicing arrangement for this pool
to be adequate. Shellpoint, AmeriHome Mortgage Company LLC and
TIAA, FSB will be the primary servicers for the transaction.
Shellpoint will service 53.1% of the mortgage pool by balance,
AmeriHome will service 43.9% of the mortgage pool by balance and
TIAA, FSB will be responsible for the remaining 2.9%. The servicers
will be primarily responsible for funding certain servicing
advances and delinquent scheduled interest and principal payments
for the mortgage loans, unless the servicer determines that such
amounts would not be recoverable. Wells Fargo Bank, N.A. (Aa1) will
be the master servicer. The master servicer is obligated to fund
any required monthly advances if the servicer fails in its
obligation to do so. The master servicer and servicer will be
entitled to reimbursements for any such monthly advances from
future payments and collections (including insurance and
liquidation proceeds) with respect to those mortgage loans.
Shellpoint and TIAA, FSB will service the mortgage loans in
accordance with the terms of the pooling and servicing agreement.
AmeriHome will service the mortgage loans in accordance with the
mortgage loan sale and servicing agreement that will be assigned to
the trust through an assignment, assumption and recognition
agreement relating to the servicing retained mortgage loans
originated by AmeriHome. Cenlar FSB will subservice the AmeriHome
mortgage loans for AmeriHome. AmeriHome will remain responsible for
its obligations under the AmeriHome assumption and recognition
agreement (AAR) notwithstanding such subservicing arrangement and
will be responsible for the acts of its subservicer.
Also, at its option, the controlling holder may engage, at its own
expense, an asset manager to review the actions of any party
servicing the mortgage loans with respect to their actions
(including making determinations regarding whether a servicer is
making modifications or servicing the mortgage loans accordance
with the terms of the respective agreement.
Moody's did not make any adjustments to its base case and Aaa
stress loss assumptions based on the servicing arrangement. Moody's
considers the presence of a strong master servicer and the ability
of the controlling holder to appoint an asset manager to review the
actions of any party servicing the mortgage loans to be a mitigant
against the risk of any servicing disruptions.
Servicing Fee Rate
TIAA, FSB will be paid a monthly fee in an amount equal to the
product of one-twelfth of 0.2500% and the aggregate stated
principal balance of the mortgage loans it services as of the first
day of the related period. TIAA, FSB will also be entitled to all
income earned on amounts on deposit in the collection account
maintained by TIAA, FSB and other ancillary amounts.
Shellpoint will be paid a monthly fee calculated as the product of
(i) 0.0700% per annum, multiplied by (ii) the stated principal
balance of the loans it services as of the first day of the related
period divided by (iii) twelve. The per annum servicing fee rate
for Shellpoint for any distribution date will not exceed an amount
equal to 0.0900% of the aggregate stated principal balance of the
mortgage loans as of the first day of the related period.
AmeriHome will be paid a monthly fee in an amount equal to the
product of one-twelfth of 0.2500% and the aggregate stated
principal balance of the mortgage loans it services as of the first
day of the related period. AmeriHome will also be entitled to all
income earned on amounts on deposit in the collection account
maintained by AmeriHome and other ancillary amounts.
Third Party Review and Reps & Warranties (R&W)
Two third party review firms verified the accuracy of the
loan-level information that Moody's received from the Sponsor.
These firms conducted detailed credit, property valuation, data
integrity and regulatory compliance reviews on 100% of the mortgage
pool. The TPR results indicated compliance with the originators'
and aggregators' underwriting guidelines for the vast majority of
the loans, no material compliance issues, and no material appraisal
defects.
The TPR firms' property valuation review consisted of reviewing the
valuation materials utilized at origination to ensure the appraisal
report was complete and in conformity with AUS underwriting
guidelines. The TPR firms also compared the original appraisals to
third party valuation products. Property valuation was conducted
using, among other things, a field review, a third-party collateral
desk appraisal (CDA), broker price opinion, automated valuation
model or a Collateral Underwriter (CU) risk score. Moody's believes
that because the deal is utilizing, in some instances, exclusively
AVMs as a comparison to verify the original appraisals for loans
that had a CU risk score above 2.5, this is weaker than if they had
done so using CDAs for such loans and/or the entire pool. Moody's
took this framework into consideration and applied an adjustment to
loans for which only an AVM was conducted.
Each originator will provide comprehensive loan level reps and
warranties for their respective loans. BANA will assign each
originator's R&W to the Seller, who will in turn assign to the
depositor, which will assign to the trust. To mitigate the
potential concerns regarding the originators' ability to meet its
respective R&W obligations, the Seller will backstop the R&Ws for
all originators loans. The Seller's obligation to backstop third
party R&Ws will terminate 5 years after the closing date, subject
to certain performance conditions. The Seller will also provide the
gap reps.
The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give confidence that the
loans do not systemically breach the R&Ws the originators have made
and that the originators are unlikely to face material repurchase
requests in the future. Furthermore, the transaction has reasonably
well-defined processes in place to identify loans with defects on
an ongoing basis. In this transaction, an independent reviewer,
when appointed, must review loans for breaches of representations
and warranties when certain clearly defined triggers have been
breached (Review Event). A Review Event will be in effect for a
mortgage loan if (i) such mortgage loan has become 120 days or more
delinquent, (ii) such mortgage loan is liquidated and such
liquidation results in a realized loss, or (iii) the related
servicer determines that a monthly advance for a mortgage loan is
nonrecoverable. Overall, the loan-level R&Ws are strong and, in
general, either meet or exceed the baseline set of credit-neutral
R&Ws Moody's identified for US RMBS. Among other considerations,
the R&Ws address property valuation, underwriting, fraud, data
accuracy, regulatory compliance, the presence of title and hazard
insurance, the absence of material property damage, and the
enforceability of mortgage.
Tail Risk and Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.70% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally there is a
subordination lock-out amount which is 0.80% of the closing pool
balance.
Exposure to Extraordinary expenses
Extraordinary trust expenses in this transaction are deducted from
net WAC. Moody's believes there is a very low likelihood that the
rated certificates in CIM Trust 2019-INV3 will incur any losses
from extraordinary expenses or indemnification payments from
potential future lawsuits against key deal parties. Firstly, the
loans are of prime quality and were originated under a regulatory
environment that requires tighter controls for originations than
pre-crisis, which reduces the likelihood that the loans have
defects that could form the basis of a lawsuit. Secondly, the
transaction has reasonably well-defined processes in place to
identify loans with defects on an ongoing basis. In this
transaction, an independent reviewer, when appointed, must review
loans for breaches of representations and warranties when certain
clearly defined triggers have been breached which reduces the
likelihood that parties will be sued for inaction. Furthermore, the
issuer has disclosed results of the credit, compliance and
valuation review of 100% of the mortgage loans by independent third
parties.
Other Considerations
In CIM Trust 2019-INV3, the controlling holder has the option to
hire at its own expense the independent reviewer upon the
occurrence of a Review Event. If there is no controlling holder (no
single entity holds a majority of the class principal amount of the
most subordinate class of certificates outstanding), the trustee
will appoint an independent reviewer at the cost of the trust.
However, if the controlling holder does not hire the independent
reviewer, the holders of more than 50% of the aggregate voting
interests of all outstanding certificates may direct (at their
expense) the trustee to appoint an independent reviewer. In this
transaction, the controlling holder can be the depositor or a
Seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, Seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.
The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five (5) business days in advance of the
foreclosure and the controlling holder has not objected to such
action. If the controlling holder objects, the servicer has to
obtain three appraisals from the appraisal firms as listed in the
pooling and servicing agreement (or, with respect to AmeriHome,
pursuant to the AmeriHome assumption and recognition agreement).
The cost of the appraisals are borne by the controlling holder. The
controlling holder will be required to purchase such mortgage loan
at a price equal to the highest of the three appraisals plus
accrued and unpaid interest on such mortgage loan as of the
purchase date. If the servicer cannot obtain three appraisals there
are alternate methods for determining the purchase price. If the
controlling holder fails to purchase the mortgage loan within the
time frame, the controlling holder forfeits any foreclosure rights
thereafter. Moody's considers this credit neutral because a) the
appraiser is chosen by the servicer from the approved list of
appraisers, b) the fair value of the property is decided by the
servicer, based on third party appraisals, and c) the controlling
holder will pay the fair price and accrued interest.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in November 2018.
CITIGROUP COMMERCIAL 2013-GCJ11: Fitch Hikes Cl. F Certs to Bsf
---------------------------------------------------------------
Fitch Ratings upgrades two and affirms nine classes of Citigroup
Commercial Mortgage Trust, commercial mortgage pass-through
certificates, series 2013-GCJ11.
CGCMT 2013-GCJ11
Current Rating Prior Rating
Class A-3 17320DAE8; LT AAAsf Affirmed; previously at AAAsf
Class A-4 17320DAG3; LT AAAsf Affirmed; previously at AAAsf
Class A-AB 17320DAJ7; LT AAAsf Affirmed; previously at AAAsf
Class A-S 17320DAN8; LT AAAsf Affirmed; previously at AAAsf
Class B 17320DAQ1; LT AAsf Affirmed; previously at AAsf
Class C 17320DAS7; LT Asf Upgrade; previously at A-sf
Class D 17320DAU2; LT BBB-sf Affirmed; previously at BBB-sf
Class E 17320DAW8; LT BBsf Affirmed; previously at BBsf
Class F 17320DAY4; LT Bsf Affirmed; previously at Bsf
Class X-A 17320DAL2; LT AAAsf Affirmed; previously at AAAsf
Class X-B 17320DBE7; LT Asf Upgrade; previously at A-sf
KEY RATING DRIVERS
Increased Credit Enhancement and Defeasance: The upgrade of classes
C and X-B is due to an increase in defeasance since the last rating
action and the continued stable performance of the majority of the
loans in the pool. Loans accounting for 20.8% of the current pool
balance are defeased, compared with 12.7% of the pool balance at
the prior rating action. As of the September 2019 distribution
date, the pool's aggregate principal balance paid down 32.6% to
$813.1 million from $1.2 billion at issuance. One loan (0.5%) is
full-term, interest only (IO), and no loans have partial IO
components remaining, compared with 30.2% of the original pool at
issuance.
Stable Loss Projections: The pool has continued to exhibit
relatively stable performance. As of YE 2018, aggregate pool-level
NOI improved 2.7% from 2017 for non-defeased loans reporting
full-year 2017 and 2018 financials. No loans are delinquent or in
special servicing, and there have been no realized losses since
issuance. Interest shortfalls are currently affecting class G.
Fitch Loans of Concern: Three loans (12.4%), all of which are in
the top 15, have been designated as Fitch Loans of Concern (FLOCs)
for declining cash flow and increased vacancy.
The largest FLOC is Empire Hotel & Retail (8.4%), a mixed-use
hotel/retail property on the Upper West Side of Manhattan. Per the
borrower, cash flow at the property has declined due to renovations
that took one-half of the hotel rooms off line through YE 2016 and
the soft hotel market in New York City. Per the 1Q19 TTM
financials, NOI debt service coverage ratio (DSCR) was 0.89x and
the property was 87% occupied.
Other FLOCs include 9440 Santa Monica (2.1%), an office property in
Beverly Hills, CA where Bank of America (8.9% of NRA) reduced its
footprint by approximately 19,000 sf, resulting in occupancy
declining to 73%; and Renaissance Center (1.8%), a mixed-use
property in Raleigh, NC where Babies R Us (19.6% of NRA) vacated
prior to lease expiration.
Alternative Loss Considerations: Fitch ran a sensitivity scenario
to test for the upgrade on classes C and X-B where all defeased
collateral was liquidated, a loss of nearly 50% was applied on the
Empire Hotel & Retail loan, and higher cap rates and NOI haircuts
were applied to the entire pool. Despite the stressed scenario,
classes C and X-B still meet the tolerance range for an upgrade to
'Asf'.
ADDITIONAL CONSIDERATIONS
High Hotel Concentration: Loans accounting for 25.6% of the pool
are collateralized by hotels or mixed-use properties with a
significant hotel component. One of these loans (8.4%) is a FLOC
and three (16.8%) are in the top 15. Additionally, 20.7% of the
pool is collateralized by office properties.
Maturity Concentration: The maturity concentration for the pool is
as follows: two loans (6.2%) in 2022 and 56 (93.8%) loans in 2023.
RATING SENSITIVITIES
The Rating Outlook on class B has been revised to Positive from
Stable due to an increase in defeasance and continued stable
performance. Upgrade to the class is likely with additional paydown
or defeasance. All other Rating Outlooks remain Stable due to
overall stable performance of the pool and improved credit
enhancement. Downgrades are possible if the performance of the
FLOCs deteriorates or if the loans transfer to special servicing.
COLT 2019-4: DBRS Assigns Provisional BB Rating on Class B-1 Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage
Pass-Through Certificates, Series 2019-4 (the Certificates) to be
issued by COLT 2019-4 Mortgage Loan Trust (the Trust) as follows:
-- $260.7 million Class A-1 at AAA (sf)
-- $23.6 million Class A-2 at AA (sf)
-- $32.7 million Class A-3 at A (sf)
-- $14.3 million Class M-1 at BBB (sf)
-- $12.0 million Class B-1 at BB (sf)
-- $6.0 million Class B-2 at B (sf)
The AAA (sf) rating on the Certificates reflects the 26.15% of
credit enhancement (CE) provided by subordinated Certificates in
the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 19.45%, 10.20%, 6.15%, 2.75% and 1.05% of CE,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and non-prime first-lien residential
mortgages. The Certificates are backed by 576 loans with a total
principal balance of $352,977,726 as of the Cut-Off Date (September
1, 2019).
Caliber Home Loans, Inc. is the Originator and the Servicer for the
entire portfolio. Aside from two loans which were originated under
the Professional Elite and Investor Access program, the rest of the
mortgages were originated under the following five programs:
(1) Elite Access (46.2% by balance) – Generally made to borrowers
with strong credit history seeking loans with non-conforming
balances who do not meet strict prime jumbo guidelines for various
reasons. These loans may have interest-only (IO) features, higher
debt-to-income (DTI) and loan-to-value (LTV) ratios or lower credit
scores compared with those in traditional prime jumbo
securitizations. This program has higher minimum FICO requirements
than Premier Access and does not allow for mortgage lates in the
past 12 months.
(2) Premier Access (30.0% by balance) – Generally made to
borrowers with unblemished credit. These loans may have IO
features, higher DTI and LTV ratios or lower credit scores compared
with those in traditional prime jumbo securitizations. Though this
program does not allow for derogatory credit events within the past
four years, some borrowers may have had prior mortgage lates.
(3) Homeowner's Access (14.3% by balance) – Made to borrowers who
do not qualify for agency or prime jumbo mortgages for various
reasons, such as loan size in excess of government limits,
alternative or insufficient credit or prior derogatory credit
events that occurred more than two years prior to origination.
(4) Fresh Start (7.1% by balance) – Generally made to borrowers
with lower credit and borrowers who may have had significant recent
credit events within the past 24 months.
(5) Investor (2.4% by balance) – Made to borrowers who finance
investor properties where the mortgage loan would not meet agency
or government guidelines because of such factors as property type,
number of financed properties, lower borrower credit score or a
seasoned credit event.
Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will
act as the Master Servicer, Securities Administrator and
Certificate Registrar. U.S. Bank National Association (rated AA
(high) with a Stable trend by DBRS) will serve as Trustee.
Although the mortgage loans were originated to satisfy Consumer
Financial Protection Bureau (CFPB) Ability-to-Repay (ATR) rules,
they were made to borrowers who generally do not qualify for
agency, government or private-label non-agency prime jumbo products
for the various reasons described above. In accordance with the
CFPB Qualified Mortgage (QM) rules, 6.9% of the loans by balance
are designated as QM Safe Harbor, 28.7% as QM Rebuttable
Presumption and 62.0% as Non-QM. Approximately 2.4% of the loans
are made to investors for business purposes and are exempt from QM
categorization.
The Servicer will generally fund advances of delinquent principal
and interest on any mortgage until such loan becomes 180 days
delinquent, and it is obligated to make advances in respect of
taxes, insurance premiums and reasonable costs incurred in the
course of servicing and disposing of properties.
On or after the earlier of (1) the two-year anniversary of the
Closing Date and (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Controlling Holder has the option to purchase all
outstanding Certificates at a price equal to the outstanding class
balance, plus accrued and unpaid interest, including any cap
carry-over amounts.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Certificates. The DBRS ratings of A (sf), BBB (sf), BB (sf)
and B (sf) address the ultimate payment of interest and full
payment of principal by the legal final maturity date in accordance
with the terms and conditions of the related Certificates.
Notes: All figures are in U.S. dollars unless otherwise noted.
COLT 2019-4: Fitch Assigns Bsf Rating on Class B2 Certs
-------------------------------------------------------
Fitch Ratings assigned ratings to the residential mortgage-backed
certificates to be issued by COLT 2019-4 Mortgage Loan Trust. The
certificates are supported by 576 loans with a total balance of
approximately $352.98 million as of the cutoff date.
All the loans in the pool were originated by Caliber Home Loans,
Inc. Approximately 62% of the pool is designated as Non-QM, 29%
consists of higher priced QM and close to 7% are Safe Harbor QM
while for the remainder ATR does not apply.
COLT 2019-4
Current Rating Prior Rating
Class A1; LT AAAsf New Rating; previously at AAA(EXP)sf
Class A2; LT AAsf New Rating; previously at AA(EXP)sf
Class A3; LT Asf New Rating; previously at A(EXP)sf
Class AIOS; LT NRsf New Rating; previously at NR(EXP)sf
Class B1; LT BBsf New Rating; previously at BB(EXP)sf
Class B2; LT Bsf New Rating; previously at B(EXP)sf
Class B3; LT NRsf New Rating; previously at NR(EXP)sf
Class M1; LT BBBsf New Rating; previously at BBB(EXP)sf
Class X; LT NRsf New Rating; previously at NR(EXP)sf
KEY RATING DRIVERS
Nonprime Credit Quality (Concern): The pool has a weighted average
model credit score of 723 and a WA combined loan to value ratio of
83%. Of the pool, 17% consists of borrowers with prior credit
events within the past seven years and 38% had a debt to income
ratio of over 43%. Investor properties and those run as investor
properties for loss modeling (i.e. nonpermanent residents) account
for 4.6% of the pool.
Fitch applied default penalties to account for these attributes,
and loss severity was adjusted to reflect the increased risk of ATR
challenges.
Primarily Full Income Documentation (Positive): The loans in the
mortgage pool were underwritten in material compliance with the
Appendix Q documentation standards defined by ATR, which is not
typical for nonprime RMBS. Mortgage pools of all other active
nonprime RMBS issuers include a significant percentage of
nontraditional income documentation. While a due diligence review
identified roughly 64% of loans (by count) as having minor
variations to Appendix Q, Fitch views those differences as
immaterial and substantially all loans as having full income
documentation. The COLT series transactions that are comprised of
100% Caliber origination are the only nonprime RMBS issued with
more than 98% full income documentation.
Excess Cashflow (Positive): The transaction benefits from a
material amount of excess cashflow that provides benefit to the
rated notes before being paid out to the class X. In Fitch's
analysis, the excess is used to protect against realized losses,
resulting in required subordination below Fitch's collateral loss
expectations, as well as timely payment of interest for all classes
in their respective rating stress. To the extent that the
collateral weighted average coupon (WAC) and corresponding excess
is reduced through a rate modification, Fitch would view the impact
as credit neutral as the modification would reduce the borrower's
probability of default, resulting in a lower loss expectation.
Low Operational Risk (Positive): Fitch has reviewed Caliber and
Hudson Americas L.P.'s origination and acquisition platforms and
found them to have sound underwriting and operational control
environments. Caliber has a long operating history and has one of
the largest and most established Non-QM programs in the sector.
Hudson's oversight of Caliber's origination of Non-QM loans reduces
the risk of manufacturing defects. Strong loan quality was
evidenced with third-party due diligence performed by an Acceptable
- Tier 1 diligence firm on 100% of the pool. The issuer's retention
of at least 5% of the transaction's fair market value helps to
ensure an alignment of interest between the issuer and investors.
Alignment of Interests (Positive): The transaction benefits from an
alignment of interests between the issuer and investors. LSRMF
Acquisitions II, LLC (LSRMF), as sponsor and securitizer or an
affiliate will retain a horizontal interest in the transaction
equal to not less than 5% of the aggregate fair market value of all
certificates in the transaction. Lastly, the representations and
warranties are provided by Caliber, which is owned by LSRMF
affiliates and, therefore, also aligns the interest of the
investors with those of LSRMF to maintain high-quality origination
standards and sound performance, as Caliber will be obligated to
repurchase loans due to rep breaches.
Modified Sequential Payment Structure (Mixed): The structure
distributes principal pro rata among the senior certificates while
shutting out the subordinate bonds from principal until all senior
classes have been reduced to zero. If any of the cumulative loss
trigger event, the delinquency trigger event or the credit
enhancement trigger event occurs in a given period, principal will
be distributed sequentially to the class A-1, A-2 and A-3
certificates until they are reduced to zero.
R&W Framework (Concern): As originator, Caliber will be providing
loan-level representations and warranties to the trust. While the
reps for this transaction are substantively consistent with those
listed in Fitch's published criteria and provide a solid alignment
of interest, Fitch added approximately 149 bps to the expected loss
at the 'AAAsf' rating category to reflect the non-investment-grade
counterparty risk of the provider and the lack of an automatic
review of defaulted loans, other than for loans with a realized
loss that have a complaint or counterclaim of a violation of ATR.
The lack of an automatic review is mitigated by the ability of
holders of 25% of the total outstanding aggregate class balance to
initiate a review.
Servicing and Master Servicer (Positive): Servicing will be
performed on 100% of the loans by Caliber. Fitch rates Caliber
'RPS2-'/Negative due to its fast-growing portfolio and regulatory
scrutiny. Wells Fargo Bank, N.A. , rated 'RMS1-'/Stable, will act
as master servicer and securities administrator. Advances required
but not paid by Caliber will be paid by Wells Fargo.
Performance Triggers (Mixed): Credit enhancement, delinquency and
loan loss triggers convert principal distribution to a straight
sequential payment priority in the event of poor asset performance.
The delinquency trigger is based only on the current month and not
on a rolling six-month average. The triggers for this transaction
should help to protect the A-1 and A-2 classes from a high stress
scenario by cutting off principal payments to more junior classes
and ensuring a higher amount of protection as compared to when the
triggers are passing.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 5.6%. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
COLT MORTGAGE 2019-4: Fitch to Rate Class B2 Certs 'B(EXP)'
-----------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2019-4 Mortgage Loan Trust (COLT
2019-4). The certificates are supported by 576 loans with a total
balance of approximately $352.98 million as of the cutoff date.
All the loans in the pool were originated by Caliber Home Loans,
Inc. Approximately 62% of the pool is designated as Non-QM, 29%
consists of higher priced QM (HPQM) and close to 7% are Safe Harbor
QM (SHQM) while for the remainder ATR does not apply.
COLT 2019-4
Class A1; LT AAA(EXP)sf; Expected Rating
Class A2; LT AA(EXP)sf; Expected Rating
Class A3; LT A(EXP)sf; Expected Rating
Class AIOS; LT NR(EXP)sf; Expected Rating
Class B1; LT BB(EXP)sf; Expected Rating
Class B2; LT B(EXP)sf; Expected Rating
Class B3; LT NR(EXP)sf; Expected Rating
Class M1; LT BBB(EXP)sf; Expected Rating
Class X; LT NR(EXP)sf; Expected Rating
KEY RATING DRIVERS
Nonprime Credit Quality (Concern): The pool has a weighted average
(WA) model credit score of 723 and a WA combined loan to value
ratio (CLTV) of 83%. Of the pool, 17% (by UPB) consists of
borrowers with prior credit events within the past seven years and
38% had a debt to income (DTI) ratio of over 43%. Investor
properties and those run as investor properties for loss modeling
(i.e. nonpermanent residents) account for 4.6% of the pool.
Fitch applied default penalties to account for these attributes,
and loss severity (LS) was adjusted to reflect the increased risk
of ATR challenges.
Primarily Full Income Documentation (Positive): The loans in the
mortgage pool were underwritten in material compliance with the
Appendix Q documentation standards defined by ATR, which is not
typical for nonprime RMBS. Mortgage pools of all other active
nonprime RMBS issuers include a significant percentage of
nontraditional income documentation. While a due diligence review
identified roughly 64% of loans (by count) as having minor
variations to Appendix Q, Fitch views those differences as
immaterial and substantially all loans as having full income
documentation. The COLT series transactions that are comprised of
100% Caliber origination are the only nonprime RMBS issued with
more than 98% full income documentation.
Excess Cashflow (Positive): The transaction benefits from a
material amount of excess cashflow that provides benefit to the
rated notes before being paid out to the class X. In Fitch's
analysis, the excess is used to protect against realized losses,
resulting in required subordination below Fitch's collateral loss
expectations, as well as timely payment of interest for all classes
in their respective rating stress. To the extent that the
collateral weighted average coupon (WAC) and corresponding excess
is reduced through a rate modification, Fitch would view the impact
as credit neutral as the modification would reduce the borrower's
probability of default, resulting in a lower loss expectation.
Low Operational Risk (Positive): Fitch has reviewed Caliber and
Hudson Americas L.P.'s origination and acquisition platforms and
found them to have sound underwriting and operational control
environments. Caliber has a long operating history and has one of
the largest and most established Non-QM programs in the sector.
Hudson's oversight of Caliber's origination of Non-QM loans reduces
the risk of manufacturing defects. Strong loan quality was
evidenced with third-party due diligence performed by an Acceptable
- Tier 1 diligence firm on 100% of the pool. The issuer's retention
of at least 5% of the transaction's fair market value helps to
ensure an alignment of interest between the issuer and investors.
Alignment of Interests (Positive): The transaction benefits from an
alignment of interests between the issuer and investors. LSRMF
Acquisitions II, LLC (LSRMF), as sponsor and securitizer or an
affiliate will retain a horizontal interest in the transaction
equal to not less than 5% of the aggregate fair market value of all
certificates in the transaction. Lastly, the representations and
warranties are provided by Caliber, which is owned by LSRMF
affiliates and, therefore, also aligns the interest of the
investors with those of LSRMF to maintain high-quality origination
standards and sound performance, as Caliber will be obligated to
repurchase loans due to rep breaches.
Modified Sequential Payment Structure (Mixed): The structure
distributes principal pro rata among the senior certificates while
shutting out the subordinate bonds from principal until all senior
classes have been reduced to zero. If any of the cumulative loss
trigger event, the delinquency trigger event or the credit
enhancement trigger event occurs in a given period, principal will
be distributed sequentially to the class A-1, A-2 and A-3
certificates until they are reduced to zero.
R&W Framework (Concern): As originator, Caliber will be providing
loan-level representations and warranties to the trust. While the
reps for this transaction are substantively consistent with those
listed in Fitch's published criteria and provide a solid alignment
of interest, Fitch added approximately 149 bps to the expected loss
at the 'AAAsf' rating category to reflect the non-investment-grade
counterparty risk of the provider and the lack of an automatic
review of defaulted loans, other than for loans with a realized
loss that have a complaint or counterclaim of a violation of ATR.
The lack of an automatic review is mitigated by the ability of
holders of 25% of the total outstanding aggregate class balance to
initiate a review.
Servicing and Master Servicer (Positive): Servicing will be
performed on 100% of the loans by Caliber. Fitch rates Caliber
'RPS2-'/Negative due to its fast-growing portfolio and regulatory
scrutiny. Wells Fargo Bank, N.A. , rated 'RMS1-'/Stable, will act
as master servicer and securities administrator. Advances required
but not paid by Caliber will be paid by Wells Fargo.
Performance Triggers (Mixed): Credit enhancement, delinquency and
loan loss triggers convert principal distribution to a straight
sequential payment priority in the event of poor asset performance.
The delinquency trigger is based only on the current month and not
on a rolling six-month average. The triggers for this transaction
should help to protect the A-1 and A-2 classes from a high stress
scenario by cutting off principal payments to more junior classes
and ensuring a higher amount of protection as compared to when the
triggers are passing.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 5.6%. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
CPS AUTO 2019-D: S&P Assigns Prelim B (sf) Rating to Cl. F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CPS Auto
Receivables Trust 2019-D's asset-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of Oct. 3,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 59.02%, 50.38%, 41.65%,
33.07%, 25.39% and 23.04% of credit support for the class A, B, C,
D, E, and F notes, respectively, based on stressed cash flow
scenarios (including excess spread). These credit support levels
provide coverage of approximately 3.10x, 2.60x, 2.10x, 1.60x, 1.23x
and 1.1x S&P's 18.50%-19.50% expected cumulative net loss range for
the class A, B, C, D, E, and F notes, respectively. Additionally,
credit enhancement, including excess spread for classes A, B, C, D,
E, and F covers breakeven cumulative gross losses of approximately
95%, 81%, 69%, 55%, 42% and 38%, respectively;
-- S&P's expectation that under a moderate stress scenario of
1.60x its expected net loss level, all else equal, the preliminary
ratings on the class A through C notes would not decline by more
than one rating category while they are outstanding, and the
preliminary rating on the class D notes would not decline by more
than two rating categories within its life. The preliminary ratings
on the class E and F notes would remain within two rating
categories during the first year, but each class would eventually
default under the 'BBB' stress scenario: class E after receiving
41%-65% of its principal and class F without receiving any
principal payments. These rating migrations are consistent with
S&P's credit stability criteria;
-- The preliminary rated notes' underlying credit enhancement in
the form of subordination, overcollateralization, a reserve
account, and excess spread for the class A through F notes;
-- The timely interest and principal payments made to the
preliminary rated notes under S&P's stressed cash flow modeling
scenarios, which S&P believes are appropriate for the assigned
preliminary ratings; and
-- The transaction's payment and credit enhancement structure,
which includes an incurable performance trigger.
PRELIMINARY RATINGS ASSIGNED
CPS Auto Receivables Trust 2019-D
Class Rating Amount (mil. $)
A AAA (sf) 118.250
B AA (sf) 47.300
C A (sf) 40.288
D BBB (sf) 34.237
E BB- (sf) 29.013
F B (sf) 5.225
CREDIT SUISSE 2007-C4: Moody's Lowers Class D Certs to C(sf)
------------------------------------------------------------
Moody's Investors Service upgraded the rating on one class and
downgraded the rating on one class in Credit Suisse Commercial
Mortgage Trust Series 2007-C4, Commercial Mortgage Pass-Through
Certificates, Series 2007-C4 as follows:
Cl. C, Upgraded to Caa1 (sf); previously on Sep 24, 2018 Affirmed
Caa3 (sf)
Cl. D, Downgraded to C (sf); previously on Sep 24, 2018 Affirmed Ca
(sf)
RATINGS RATIONALE
The rating on Cl. C was upgraded due to the class' significant
paydowns. Class C has paid down 96% from its original balance.
The rating on Cl. D was downgraded due to increased realized
losses. Cl. D has already experienced a 76% realized loss from
previously liquidated loans.
Moody's rating action reflects a base expected loss of 11.9% of the
current pooled balance, compared to 8.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 12.1% of the
original pooled balance, compared to 11.3% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
DEAL PERFORMANCE
As of the September 2019 distribution date, the transaction's
aggregate certificate balance has decreased by over 99% to $6.5
million from $2.08 billion at securitization. The certificates are
collateralized by one previously modified loan.
Seventy-five loans have been liquidated from the pool, resulting in
an aggregate realized loss of $246.9 million (for an average loss
severity of 32%).
The remaining loans in the pool are secured by Franklin Plaza
Shopping Center (a $4.35 million A-note representing 66.8% of the
pool and $2.16 million B-note representing 33.2% of the pool). The
loan previously transferred to special servicing in November 2011.
The loan remained with the special servicer until June 2017 when a
modification was executed that included an A/B note structure. The
loan was returned to the master servicer after the modification,
however, subsequently transferred back to special servicing in June
2019 due to maturity default. The property is secured by a 30,000
SF retail center located in Monroe Township, New Jersey,
approximately 40 miles southwest from New York City. As of August
2019 the property was 100% occupied, however, the property's 2018
net operating income was significantly below the levels at
securitization. Moody's has assumed a full loss on the B-note and
has identified the A-note as a troubled loan.
EXETER AUTOMOBILE 2019-4: S&P Assigns Prelim BB Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables Trust 2019-4's automobile receivables-backed
notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Oct. 3,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 60.2%,53.5%, 44.6%, 34.7% and
29.1% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). This credit support provides coverage of
approximately 2.85x, 2.50x, 2.05x, 1.55x, and 1.27x S&P's
20.50%-21.50% expected cumulative net loss (CNL) range. These
break-even scenarios withstand cumulative gross losses (CGLs) of
approximately 92.7%, 82.5%, 72.1%, 57.6%, and 48.5% respectively.
-- S&P's expectation for timely interest and principal payments on
the notes, based on stressed cash flow modeling scenarios, which,
in its view, are appropriate for the assigned preliminary ratings.
-- The expectations that under a moderate ('BBB') stress scenario
(1.55x S&P's expected loss level), all else being equal, S&P's
rating on the class A notes will remain at the assigned preliminary
'AAA (sf)' rating; the ratings on the class B and C notes will
remain within one rating category of the assigned preliminary 'AA
(sf)' and 'A (sf)' ratings, respectively, for the deal's life; and
the rating on the class D notes will remain within two rating
categories of the assigned preliminary 'BBB (sf)' rating over the
deal's life. S&P expects the class E notes to remain within two
rating categories of the assigned preliminary 'BB (sf)' rating over
the first year, but the rating agency expects them to eventually
default under this stress scenario. These rating movements are
within the limits specified by S&P's credit stability criteria.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.
-- The transaction's payment, credit enhancement, and legal
structures.
PRELIMINARY RATINGS ASSIGNED
Exeter Automobile Receivables Trust 2019-4
Class Rating Amount (mil. $)
A AAA (sf) 300.41
B AA (sf) 90.93
C A (sf) 99.02
D BBB (sf) 109.12
E BB (sf) 50.52
FANNIE MAE 2019-R06: S&P Assigns Prelim BB+ Rating on 2M-2A Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Connecticut
Avenue Securities Trust 2019-R06's notes.
The note issuance is an RMBS transaction in which the payments are
determined by a reference pool of residential mortgage loans, deeds
of trust, or similar security instruments encumbering mortgaged
properties acquired by Fannie Mae.
The preliminary ratings are based on information as of Oct. 1,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided by the subordinated reference
tranches and the associated structural deal mechanics;
-- The credit quality of the collateral included in the reference
pool;
-- A REMIC structure that reduces the counterparty exposure to
Fannie Mae for periodic principal and interest payments but, at the
same time, pledges the support of Fannie Mae (a highly rated
counterparty) to cover shortfalls, if any, on interest payments and
to make up for any investment losses;
-- Fannie Mae's aggregation experience and the alignment of
interests between the issuer and the noteholders in the deal's
performance, which, in S&P's view, enhances the notes' strength;
and
-- The enhanced credit risk management and quality control
processes Fannie Mae uses in conjunction with the underlying
representations and warranties framework.
PRELIMINARY RATINGS ASSIGNED
Connecticut Avenue Securities Trust 2019-R06
Class Rating Amount ($)
2A-H(i) NR 31,374,055,322
2M-1 BBB- (sf) 233,828,000
2M-1H(i) NR 12,307,371
2M-2(ii) B (sf) 732,660,000
2M-2A(ii) BB+ (sf) 244,220,000
2M-AH(i) NR 12,854,721
2M-2B(ii) BB- (sf) 244,220,000
2M-BH(i) NR 12,854,721
2M-2C(ii) B (sf) 244,220,000
2M-CH(i) NR 12,854,721
2B-1 NR 327,360,000
2B-1H(i) NR 17,229,519
2B-2H(i) NR 82,045,124
2E-A1(iii) BB+ (sf) 244,220,000
2A-I1(iii) BB+ (sf) 244,220,000
2E-A2(iii) BB+ (sf) 244,220,000
2A-I2(iii) BB+ (sf) 244,220,000
2E-A3(iii) BB+ (sf) 244,220,000
2A-I3(iii) BB+ (sf) 244,220,000
2E-A4(iii) BB+ (sf) 244,220,000
2A-I4(iii) BB+ (sf) 244,220,000
2E-B1(iii) BB- (sf) 244,220,000
2B-I1(iii) BB- (sf) 244,220,000
2E-B2(iii) BB- (sf) 244,220,000
2B-I2(iii) BB- (sf) 244,220,000
2E-B3(iii) BB- (sf) 244,220,000
2B-I3(iii) BB- (sf) 244,220,000
2E-B4(iii) BB- (sf) 244,220,000
2B-I4(iii) BB- (sf) 244,220,000
2E-C1(iii) B (sf) 244,220,000
2C-I1(iii) B (sf) 244,220,000
2E-C2(iii) B (sf) 244,220,000
2C-I2(iii) B (sf) 244,220,000
2E-C3(iii) B (sf) 244,220,000
2C-I3(iii) B (sf) 244,220,000
2E-C4(iii) B (sf) 244,220,000
2C-I4(iii) B (sf) 244,220,000
2E-D1(iii) BB- (sf) 488,440,000
2E-D2(iii) BB- (sf) 488,440,000
2E-D3(iii) BB- (sf) 488,440,000
2E-D4(iii) BB- (sf) 488,440,000
2E-D5(iii) BB- (sf) 488,440,000
2E-F1(iii) B (sf) 488,440,000
2E-F2(iii) B (sf) 488,440,000
2E-F3(iii) B (sf) 488,440,000
2E-F4(iii) B (sf) 488,440,000
2E-F5(iii) B (sf) 488,440,000
2-X1(iii) BB- (sf) 488,440,000
2-X2(iii) BB- (sf) 488,440,000
2-X3(iii) BB- (sf) 488,440,000
2-X4(iii) BB- (sf) 488,440,000
2-Y1(iii) B (sf) 488,440,000
2-Y2(iii) B (sf) 488,440,000
2-Y3(iii) B (sf) 488,440,000
2-Y4(iii) B (sf) 488,440,000
2-J1(iii) B (sf) 244,220,000
2-J2(iii) B (sf) 244,220,000
2-J3(iii) B (sf) 244,220,000
2-J4(iii) B (sf) 244,220,000
2-K1(iii) B (sf) 488,440,000
2-K2(iii) B (sf) 488,440,000
2-K3(iii) B (sf) 488,440,000
2-K4(iii) B (sf) 488,440,000
2M-2Y(iii) B (sf) 732,660,000
2M-2X(iii) B (sf) 732,660,000
2B-1Y(iii) NR 327,360,000
2B-1X(iii) NR 327,360,000
(i)Reference tranche only and will not have corresponding notes.
Fannie Mae retains the risk of each of these tranches.
(ii)Class 2M-2 is offered at closing and may be exchanged for
classes 2M-2A, 2M-2B, and 2M-2C.
(iii)RCR exchangeable classes. RCR--Related combinable and
recombinable notes.
NR--Not rated.
FIRST INVESTORS 2018-1: S&P Affirms B (sf) Rating on Class F Notes
------------------------------------------------------------------
S&P Global Ratings raised its ratings on 24 classes and affirmed
its ratings on 12 classes from eight First Investors Auto Owner
Trust (FIAOT) transactions: series 2015-1, 2015-2, 2016-1, 2016-2,
2017-1, 2017-2, 2017-3, and 2018-1.
The collateral pools for the FIAOT transactions comprise auto loan
receivables that were originated to mainly subprime borrowers.
"The rating actions reflect each transaction's collateral
performance to date and our expectations regarding future
collateral performance, as well as each transaction's structure and
credit enhancement levels. Additionally, we incorporated secondary
credit factors, including credit stability, payment priorities
under various scenarios, and sector and issuer-specific analyses.
Considering these factors, we believe the notes' creditworthiness
is consistent with the raised and affirmed ratings," S&P said.
"Based on the transactions' collateral performance, we raised our
cumulative net loss (CNL) expectations for four series. At the same
time, we lowered our CNL expectations for two other series and
maintained our CNL expectations for the two remaining series," S&P
said.
Since the closing of each transaction, the credit support for each
class has increased as a percentage of the amortizing pool balance
and is, in S&P's view, adequate to support the raised or affirmed
ratings.
Table 1
Collateral Performance (%)
As of the September 2019 distribution date
Pool Current 60+ days
Series Month factor CNL delinq.
2015-1 53 9.95 10.94 6.02
2015-2 49 14.94 10.80 5.57
2016-1 43 19.36 10.33 5.41
2016-2 36 28.70 10.15 4.80
2017-1 31 34.91 8.25 5.09
2017-2 26 42.38 7.51 4.70
2017-3 22 48.99 5.98 4.49
2018-1 16 59.35 3.31 3.13
CNL--Cumulative net.
Delinq.--Delinquencies.
Table 2
CNL Expectations (%)(i)
As of the September 2019 distribution date
Initial Prior Current
lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.
(as of Sept. 2019)
2015-1 8.25-8.50 10.50-11.00 11.00-11.25
2015-2 8.25-8.50 11.50-12.00 11.50-12.00
2016-1 9.25-9.75 11.00-11.50 11.50-12.00
2016-2 9.00-9.50 12.00-12.50 12.50-13.00
2017-1 9.75-10.25 12.25-12.75 11.25-11.75
2017-2 10.25-10.75 N/A 11.00-11.50
2017-3 10.75-11.25 N/A 10.75-11.25
2018-1 11.75-12.25 N/A 10.75-11.25
(i)FIAOT 2016-1 and 2016-2 revised December 2017, and FIAOT 2015-1,
2015-2, and 2017-1 revised September 2018.
CNL exp.--Cumulative net loss expectations.
N/A--Not applicable.
Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread. The hard credit
enhancement for each of the transactions is at the specified target
or floor. The credit enhancement levels have grown for all of the
outstanding classes as a percentage of their current collateral
balances and are a major consideration behind the upgrades and
affirmations.
Table 3
Hard Credit Support (%)
As of the September 2019 distribution date
Initial hard Current hard
credit support credit support
Series Class (i)(ii) (i)(iii)
2015-1 C 9.46 94.52
2015-1 D 2.11 20.68
2015-2 C 12.30 85.65
2015-2 D 5.95 43.14
2015-2 E 1.50 13.39
2016-1 C 13.80 72.80
2016-1 D 6.95 37.38
2016-1 E 2.10 12.30
2016-2 A-2 25.50 94.01
2016-2 B 20.63 77.04
2016-2 C 12.63 49.16
2016-2 D 5.98 25.98
2016-2 E 1.50 10.38
2017-1 A-2 26.65 81.13
2017-1 B 20.85 64.52
2017-1 C 12.25 39.89
2017-1 D 5.50 20.55
2017-1 E 1.50 9.10
2017-2 A-2 29.50 73.76
2017-2 B 23.29 59.11
2017-2 C 14.30 37.90
2017-2 D 7.03 20.75
2017-2 E 1.75 8.29
2017-3 A-1 30.05 67.34
2017-3 A-2 30.05 67.34
2017-3 B 22.90 52.74
2017-3 C 13.50 33.56
2017-3 D 5.50 17.23
2017-3 E 1.50 9.06
2018-1 A-1 37.75 67.17
2018-1 A-2 37.75 67.17
2018-1 B 30.25 54.54
2018-1 C 20.26 37.69
2018-1 D 12.25 24.21
2018-1 E 7.25 15.79
2018-1 F 2.65 8.03
(i)Calculated as a percentage of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization
and, if applicable, subordination.
S&P incorporated an analysis of the current hard credit enhancement
compared to the remaining expected CNL for those classes for which
hard credit enhancement alone without credit to the expected excess
spread was sufficient, in its opinion, to upgrade or affirm the
notes to 'AAA (sf)'. For the other classes, S&P incorporated a cash
flow analysis to assess the loss coverage level, giving credit to
excess spread. S&P's various cash-flow scenarios included
forward-looking assumptions on recoveries, timing of losses, and
voluntary absolute prepayment speeds that it believes are
appropriate given each transaction's performance to date. Aside
from its break-even cash flow analysis, S&P also conducted
sensitivity analyses for these series to determine the impact that
a moderate ('BBB') stress scenario would have on its ratings if
losses began trending higher than its revised base-case loss
expectation.
"In our view, the results demonstrated that all of the classes have
adequate credit enhancement at the raised or affirmed rating
levels. We will continue to monitor the performance of all of the
outstanding transactions to ensure that the credit enhancement
remains sufficient, in our view, to cover our cumulative net loss
expectations under our stress scenarios for each of the rated
classes," S&P said.
RATINGS RAISED
First Investors Auto Owner Trust
Rating
Series Class To From
2015-1 D AAA (sf) A+ (sf)
2015-2 D AAA (sf) A+ (sf)
2015-2 E BBB+ (sf) BB (sf)
2016-1 C AAA (sf) AA (sf)
2016-1 D AAA (sf) A- (sf)
2016-1 E BBB (sf) BB (sf)
2016-2 B AAA (sf) AA (sf)
2016-2 C AAA (sf) A (sf)
2016-2 D AA- (sf) BBB (sf)
2017-1 B AAA (sf) AA+ (sf)
2017-1 C AAA (sf) A (sf)
2017-1 D A (sf) BBB (sf)
2017-2 B AAA (sf) AA (sf)
2017-2 C AA+ (sf) A (sf)
2017-2 D A+ (sf) BBB (sf)
2017-2 E BB+ (sf) BB- (sf)
2017-3 B AAA (sf) AA (sf)
2017-3 C AA+ (sf) A (sf)
2017-3 D A (sf) BBB (sf)
2017-3 E BBB- (sf) BB- (sf)
2018-1 B AAA (sf) AA (sf)
2018-1 C AA (sf) A (sf)
2018-1 D A (sf) BBB (sf)
2018-1 E BBB (sf) BB- (sf)
RATINGS AFFIRMED
First Investors Auto Owner Trust
Series Class Rating
2015-1 C AAA (sf)
2015-2 C AAA (sf)
2016-2 A-2 AAA (sf)
2016-2 E BB (sf)
2017-1 A-2 AAA (sf)
2017-1 E BB- (sf)
2017-2 A-2 AAA (sf)
2017-3 A-1 AAA (sf)
2017-3 A-2 AAA (sf)
2018-1 A-1 AAA (sf)
2018-1 A-2 AAA (sf)
2018-1 F B (sf)
GCAT 2019-NQM2: S&P Assigns B (sf) Rating to Class B-2 Certs
------------------------------------------------------------
S&P Global Ratings assigned its ratings to GCAT 2019-NQM2 Trust's
mortgage pass-through certificates.
The certificate issuance is a residential mortgage-backed
securities (RMBS) transaction backed by first-lien fixed- and
adjustable-rate fully amortizing and interest-only residential
mortgage loans primarily secured by single-family residential
properties, planned-unit developments, condominiums, and two- to
four-family residential properties to both prime and nonprime
borrowers. The pool has 1,044 loans, which are primarily
nonqualified mortgage loans.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty (R&W) framework for this
transaction; and
-- The mortgage aggregator, Blue River Mortgage TRS.
RATINGS ASSIGNED
GCAT 2019-NQM2 Trust
Class Rating(i) Amount ($)
A-1 AAA (sf) 293,735,000
A-2 AA (sf) 26,902,000
A-3 A (sf) 37,066,000
M-1 BBB (sf) 17,337,000
B-1 BB (sf) 11,359,000
B-2 B (sf) 8,568,000
B-3 NR 3,587,951
A-IO-S NR Notional(ii)
X NR Notional(ii)
R NR N/A
(i)The collateral and structural information in this report
reflects the pooling and servicing agreement dated Sept. 27, 2019.
The ratings address S&P's expectation for the ultimate payment of
interest and principal.
(ii)The notional amount equals the loans' stated principal balance.
N/A--Not applicable.
NR--Not rated.
GS MORTGAGE 2019-GC42: DBRS Finalizes B(high) Rating on G-RR Debt
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2019-GC42 issued by GS Mortgage Securities Trust 2019-GC42:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B as AA (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F-RR at BB (sf)
-- Class G-RR at B (high) (sf)
All trends are Stable.
Classes D, X-D, E, F-RR and G-RR will be privately placed.
The collateral consists of 36 fixed-rate loans secured by 94
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. Five loans, representing a combined 19.4% of
the pool, are shadow-rated investment grade by DBRS. The pool
additionally includes 11 loans, representing a combined 27.3% of
the pool by allocated loan balance, with issuance loan-to-values
(LTVs) equal to or in excess of 67.1%, a threshold historically
indicative of above-average default frequency. The weighted-average
(WA) LTV of the pool at issuance is 58.8%, and the pool is
scheduled to amortize down to a WA LTV of 56.6% at maturity.
The collateral features five loans, representing a combined 19.4%
of the pool, that are shadow-rated investment grade by DBRS: 30
Hudson Yards, Grand Canal Shoppes, Moffett Towers II Buildings 3 &
4, Woodlands Mall and Diamondback Industrial Portfolio 1. The 30
Hudson Yards loan exhibits credit characteristics consistent with a
BBB shadow rating, Grand Canal Shoppes exhibits credit
characteristics consistent with a BBB (high) shadow rating,
Woodlands Mall and Moffett Towers II Buildings 3 & 4 exhibit credit
characteristics consistent with an AA shadow rating and the
Diamondback Industrial Portfolio 1 exhibits credit characteristics
consistent with an "A" shadow rating.
Nine loans, representing a combined 32.5% of the pool by allocated
loan balance, exhibit issuance LTVs of less than 59.3%, a threshold
historically indicative of relatively low-leverage financing and
generally associated with below-average default frequency.
No properties were deemed Average (-), Below Average or Poor
quality. Additionally, 13 loans, representing 51.5% of the pool by
allocated loan balance, exhibited Average (+), Above Average or
Excellent property quality. The pool's largest loan, Moffett Towers
II Buildings 3 & 4, and 30 Hudson Yards are secured by collateral
that DBRS deemed to be of excellent property quality.
Ten loans, representing a combined 30.0% of the pool, are located
in areas with a DBRS Market Rank of 6, 7 or 8, which are
characterized as urbanized locations. These markets benefit from
increased liquidity that is driven by consistently strong investor
demand. Such markets therefore tend to benefit from lower default
frequencies than less dense suburban, tertiary and rural markets.
Areas with a DBRS Market Rank of 7 or 8 are especially densely
urbanized and benefit from significantly elevated liquidity. Six
loans, representing 18.5% of the pool by allocated loan balance,
are located in areas with a DBRS Market Rank of 7 or 8.
Eleven loans, representing 38.5% of the aggregate pool balance, are
secured by properties that are either fully or partially leased to
a single tenant. The largest single-tenant property by proportion
of pool balance (Moffett Towers II Buildings 3 & 4) represents 6.2%
of the aggregate pool balance, and five of the top ten loans by
proportion of pool balance are either fully or partially leased to
a single tenant. DBRS sampled nine of the 11 loans secured by
single-tenant properties. Additionally, three of the 11 loans
leased to a single tenant are shadow-rated investment grade by DBRS
(Moffett Towers II Buildings 3 & 4, Diamondback Industrial
Portfolio 1 and 30 Hudson Yards). Ten of the 11 identified
properties are leased to single tenants that DBRS considers being
investment-grade rated: Moffett Towers II Buildings 3 & 4, 19100
Ridgewood, Diamondback Industrial Portfolio 1, and 105 East 17th
Street, USAA Office Portfolio, Capitol Commons, Powered Shell
Portfolio – Manassas, Powered Shell Portfolio – Ashburn, 30
Hudson Yards and 1609 Avenue.
The pool has a relatively high concentration of loans secured by
office properties, as evidenced by ten loans, representing 37.0% of
the pool by allocated loan balance, being secured by such
properties. DBRS considers office properties to be a riskier
property type with a generally above-average historical default
frequency. Of the ten loans secured by office properties, two
loans, representing 8.1% of the pool by allocated loan balance, are
shadow-rated investment grade by DBRS: 30 Hudson Yards and Moffett
Towers II Buildings 3 & 4. Three of the ten identified loans,
representing 8.8% of the pool by allocated loan balance, are
secured by office properties located in areas with a DBRS Market
Rank of 8, which is characterized as a highly dense, urbanized area
such as New York or San Francisco. These markets benefit from
increased liquidity that is driven by consistently strong investor
demand. Such markets therefore tend to benefit from lower default
frequencies than less dense suburban, tertiary and rural markets.
The WA expected loss of the seven loans secured by office
properties that are not located in DBRS Market Rank 8 or are
shadow-rated investment grade is more than two times the WA
expected loss of the overall pool. As a result, the risk of these
loans is reflected in the credit enhancement levels of the pool.
Twenty-six loans, representing a combined 81.7% of the pool by
allocated loan balance, are structured with full-term interest-only
(IO) periods. Expected amortization for the pool is only 3.2%,
which is less than recent conduit securitizations. Of the 26 loans
structured with full-term IO periods, six loans, representing 18.5%
of the pool by allocated loan balance, are located in areas with a
DBRS Market Rank of 7 or 8. These markets benefit from increased
liquidity that is driven by consistently strong investor demand.
Such markets therefore tend to benefit from lower default
frequencies than less dense suburban, tertiary and rural markets.
Five of the 26 identified loans, representing 19.4% of the pool by
allocated loan balance, are shadow-rated investment grade by DBRS:
Moffett Towers II Buildings 3 & 4, Woodlands Mall, Diamondback
Industrial Portfolio 1, 30 Hudson Yards and Grand Canal Shoppes.
The full-term IO loans are for the most part pre-amortized, as the
WA issuance LTV for these loans is low at 57.0%.
The pool features a relatively high concentration of loans secured
by properties located in less favorable suburban market areas, as
evidenced by 17 loans, representing 46.0% of the pool by allocated
loan balance, being secured by properties located in areas with a
DBRS Market Rank of either 3 or 4. Four of the identified loans,
representing 16.2% of the pool balance, that are secured by
properties located in areas with a DBRS Market Rank of either 3 or
4, will amortize over the loan term, which can reduce risk over
time. The average expected amortization of these loans is 15.6%,
which is notably higher than the pool's total WA expected
amortization of 3.2%.
Classes X-A, X-B, and X-D are IO certificates that reference a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2019-GC42: Fitch Assigns B-sf Rating on Cl. G-RR Certs
------------------------------------------------------------------
Fitch Ratings assigned the following ratings and Rating Outlooks to
GS Mortgage Securities Trust 2019-GC42 commercial mortgage
pass-through certificates, series 2019-GC42:
-- $11,528,000 class A-1 'AAAsf'; Outlook Stable;
-- $117,422,000 class A-2 'AAAsf'; Outlook Stable;
-- $240,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $335,209,000 class A-4 'AAAsf'; Outlook Stable;
-- $20,849,000 class A-AB 'AAAsf'; Outlook Stable;
-- $823,402,000a class X-A 'AAAsf'; Outlook Stable;
-- $89,332,000a class X-B 'A-sf'; Outlook Stable;
-- $98,394,000 class A-S 'AAAsf'; Outlook Stable;
-- $45,313,000 class B 'AA-sf'; Outlook Stable;
-- $44,019,000 class C 'A-sf'; Outlook Stable;
-- $28,482,000b class D 'BBBsf'; Outlook Stable;
-- $50,491,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $22,009,000b class E 'BBB-sf'; Outlook Stable;
-- $22,010,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $10,357,000bc class G-RR 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $40,134,720bc class H-RR;
-- $24,700,000bd class VRR Interest.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit-risk retention interest.
(d) Vertical credit-risk retention interest.
Since Fitch published its expected ratings on Sept. 10, 2019, the
balances for class A-3 and A-4 were finalized. At the time the
expected ratings were assigned, the exact initial certificate
balances for class A-3 and A-4 were unknown and expected to be
approximately $575,209,000 in aggregate, subject to a 5% variance.
The final class balances for class A-3 and A-4 are $240,000,000 and
$335,209,000, respectively. The classes reflect the final ratings
and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 36 loans secured by 94
commercial properties having an aggregate principal balance of
$1,060,426,720 as of the cut-off date. The loans were contributed
to the trust by Goldman Sachs Mortgage Securities, Citi Real Estate
Funding Inc., and German American Capital Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 86.0% of the properties
by balance, cash flow analysis of 88.6% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage: The pool's leverage is lower than that of
recent Fitch-rated multiborrower transactions. The pool's Fitch
debt service coverage ratio (DSCR) of 1.30x is higher than the 2018
and YTD 2019 averages of 1.22x and 1.23x, respectively. The pool's
loan-to-value (LTV) of 101.3% is lower than the 2018 and YTD 2019
averages of 102.0% and 101.4%, respectively. Excluding the credit
assessed collateral, the pool has a respective Fitch DSCR and LTV
of 1.27x and 110.6%.
Credit Opinion Loans: Five loans, representing 19.4% of the pool,
are credit assessed. This is higher than the 2018 and YTD 2019
averages of 13.6% and 14.5%, respectively. One loan, 30 Hudson
Yards (1.9% of the pool), received a stand-alone credit opinion of
'A-sf*'. Four loans, Moffett Towers - Buildings 3 and 4 (6.2% of
the pool), Diamondback Industrial Portfolio 1 (4.7% of the pool),
Woodlands Mall (4.7% of the pool), and Grand Canal Shoppes (1.9% of
the pool), each received stand-alone credit opinions of 'BBB-sf*'.
Minimal Amortization: The pool contains 26 loans that are full
interest-only (81.7% of the pool), five loans that are partial
interest-only (8.8% of the pool), and five loans that are
amortizing balloon loans (9.5% of the pool). Based on the scheduled
balance at maturity, the pool will pay down by just 3.2%, which is
below the 2018 and YTD 2019 averages of 7.2% and 6.0%,
respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.6% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the GSMS
2019-GC42 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'AA-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could
result.
JP MORGAN 2015-JP1: Fitch Affirms B-sf Rating on Class G Certs
--------------------------------------------------------------
Fitch Ratings affirmed 17 classes of JPMCC Commercial Mortgage
Securities Trust, commercial mortgage pass-through certificates,
series 2015-JP1.
JPMCC 2015-JP1
Current Rating Prior Rating
Class A-1 46590KAA2; LT AAAsf Affirmed; previously at AAAsf
Class A-2 46590KAB0; LT AAAsf Affirmed; previously at AAAsf
Class A-3 46590KAC8; LT AAAsf Affirmed; previously at AAAsf
Class A-4 46590KAD6; LT AAAsf Affirmed; previously at AAAsf
Class A-5 46590KAE4; LT AAAsf Affirmed; previously at AAAsf
Class A-S 46590KAG9; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 46590KAF1; LT AAAsf Affirmed; previously at AAAsf
Class B 46590KAH7; LT AA-sf Affirmed; previously at AA-sf
Class C 46590KAK0; LT A-sf Affirmed; previously at A-sf
Class D 46590KAL8; LT BBBsf Affirmed; previously at BBBsf
Class E 46590KBA1; LT BBB-sf Affirmed; previously at BBB-sf
Class F 46590KAS3; LT BBsf Affirmed; previously at BBsf
Class G 46590KAU8; LT B-sf Affirmed; previously at B-sf
Class X-A 46590KAN4; LT AAAsf Affirmed; previously at AAAsf
Class X-B 46590KAP9; LT AA-sf Affirmed; previously at AA-sf
Class X-D 46590KAR5; LT BBBsf Affirmed; previously at BBBsf
Class X-E 46590KAY0; LT BBB-sf Affirmed; previously at BBB-sf
KEY RATING DRIVERS
Slight Increase in Loss Expectations: While loss expectations have
slightly increased, primarily due to the six loans (10.5% of pool)
designated as Fitch Loans of Concern (FLOCs), including one
specially serviced loan (4.8%), the affirmations reflect the
overall stable performance of the majority of the pool since
issuance.
Minimal Change to Credit Enhancement Since Issuance: As of the
September 2019 distribution date, the pool's aggregate principal
balance has paid down by 2.8% to $776.4 million from $799.2 million
at issuance. No loans have been paid off since issuance, and three
loans (4%) are fully defeased. Six loans (31.4% of pool) are
full-term, interest only, and nine loans (17.7%) are partial
interest only and have yet to begin amortizing.
Upcoming loan maturities consist of eight loans (17.9%) scheduled
to mature in 2020. The remainder of the pool matures in 2025.
Fitch Loans of Concern: The largest FLOC is the specially serviced
Holiday Inn Baltimore Inner Harbor loan (4.8%), which is secured by
a 365-room full-service hotel located in Baltimore, MD, two blocks
from Camden Yards, the home ballpark of the Baltimore Orioles. The
loan transferred to special servicing in August 2018 for imminent
payment default. Additionally, the borrower was in default of its
franchise agreement with InterContinental Hotels Group (IHG);
however, IHG agreed to a forbearance until January 2020. YE 2018
NOI declined 64% below the issuer's underwriting, primarily due to
lower occupancy, which dropped to 50% as of YE 2018 from 63% at
issuance. Occupancy at the property is likely tied to the poor
performance of the Baltimore Orioles, as attendance at Camden Yards
currently ranks in the bottom three of all Major League Baseball
for the 2019 season.
Five additional loans (5.7% of the pool) were flagged as FLOCs for
declining occupancy, low DSCRs and/or upcoming lease rollover. The
second largest FLOC is the Novant Portfolio loan (1.6%), which is
secured by a portfolio of five properties consisting of traditional
office, medical office and industrial warehouse/distribution
located in Winston Salem, Huntersville and Mocksville, NC. At
issuance, the portfolio was 100% occupied by Novant Health (Novant;
AA-), which had occupied these properties since 2008. As of June
2019, physical portfolio occupancy declined to 84% as Novant fully
vacated the 140 Club Oaks Court property in Winston Salem (3.6% of
portfolio NRA) one month prior to the scheduled July 2018 lease
expiration and reduced its footprint by 50% at the 17220 Northcross
Drive property in Huntersville (9.5% of total portfolio NRA).
Additionally, Novant has subleased the entire 171 Enterprise Way
property in Mocksville (47% of total portfolio NRA) to a new tenant
through January 2030. Fitch's inquiry to the servicer for
additional leasing updates remains outstanding.
The next largest FLOCs include the Tidewater Cove loan (1.2%),
which is secured by an office property located in Vancouver, WA.
The property has seen occupancy decline to 75% from 91% in 2017 and
has a servicer-reported NOI DSCR of 0.93x, as of YE 2018; and the
Marketplace at Augusta - Townsend loan (1.2%), which is secured by
a retail center located in Augusta, ME with significant upcoming
lease rollover of 41% of NRA scheduled in early 2020.
No other FLOC comprises more than 1% of the pool.
ADDITIONAL CONSIDERATIONS
Pool and Loan Concentrations: The largest loan, 32 Avenue of the
Americas, represents 12.9% of the current pool balance, and the
largest 10 loans account for 56% of the pool. Additionally, loans
secured by office properties represent 47% of the pool while loans
secured by retail properties total 17.6% and hotels are at 16.9%.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable due to overall
stable pool performance and expected continued pay down. Rating
upgrades may occur with improved pool performance and additional
paydown and/or defeasance. Downgrades, although unlikely, could
occur should performance of the FLOCs deteriorate significantly.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
JP MORGAN 2019-7: Moody's Assigns B2 Rating on Cl. B-5 Debt
-----------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 25 classes
of residential mortgage-backed securities issued by J.P. Morgan
Mortgage Trust 2019-7. The ratings range from Aaa (sf) to B2 (sf).
The certificates are backed by 545 30-year, fully-amortizing
fixed-rate mortgage loans with a total balance of $399,625,707 as
of the September 1, 2019 cut-off date. Similar to prior JPMMT
transactions, JPMMT 2019-7 includes GSE-eligible mortgage loans
(12% by loan balance) mostly originated by United Shore Financial
Services, LLC d/b/a United Wholesale Mortgage and Shore Mortgage,
underwritten to the government sponsored enterprises guidelines in
addition to prime jumbo non-GSE eligible (non-conforming) mortgages
purchased by J.P. Morgan Mortgage Acquisition Corp., sponsor and
mortgage loan seller, from various originators and aggregators.
United Shore and Sterling National Bank originated approximately
52% and 17% of the mortgage pool, respectively. With respect to the
mortgage loans, each originator or the aggregator, as applicable,
made a representation and warranty that the mortgage loan
constitutes a qualified mortgage under the qualified mortgage
rule.
The servicers are NewRez LLC f/k/a New Penn Financial, LLC d/b/a
Shellpoint Mortgage Servicing (89% by balance), United Shore (9% by
balance) and USAA Federal Savings Bank (1.50% by balance). Of note,
JPMCB will ultimately be the servicer for majority of the pool (89%
by balance). Shellpoint will act as interim servicer for the
JPMorgan Chase Bank, N.A. mortgage loans until the servicing
transfer date, which is expected to occur on or about November 1,
2019, but may occur on a later date as determined by the issuing
entity. After the servicing transfer date, these mortgage loans
will be serviced by JPMCB. The servicing fee for loans serviced by
Shellpoint and JPMCB will be based on a step-up incentive fee
structure with a monthly base fee of $20 per loan and additional
fees for delinquent or defaulted loans (variable fee framework).
All other servicers will be paid a monthly flat servicing fee equal
to one-twelfth of 0.25% of the remaining principal balance of the
mortgage loans (fixed fee framework). Nationstar Mortgage LLC d/b/a
Mr. Cooper will be the master servicer and Citibank, National
Association will be the securities administrator and Delaware
trustee. Pentalpha Surveillance LLC will be the representations and
warranties breach reviewer. Distributions of principal and interest
and loss allocations are based on a typical shifting interest
structure that benefits from senior and subordination floors.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2019-7
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aa2 (sf)
Cl. A-15, Definitive Rating Assigned Aa2 (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned A1 (sf)
Cl. B-1-A, Definitive Rating Assigned A1 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-2-A, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-3-A, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.40%
in a base scenario and reaches 5.30% at a stress level consistent
with the Aaa (sf) ratings.
Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis model based on the loan-level collateral
information as of the cut-off date. Loan-level adjustments to the
model results included adjustments to probability of default for
higher and lower borrower debt-to-income ratios, for borrowers with
multiple mortgaged properties, self-employed borrowers, and for the
default risk of Homeownership association properties in super lien
states. Its final loss estimates also incorporate adjustments for
origination quality, third party due diligence results and the
financial strength of representation & warranty providers.
Moody's bases its definitive ratings on the certificates on the
credit quality of the mortgage loans, the structural features of
the transaction, the origination quality, the servicing
arrangement, the strength of the third party due diligence and the
R&W framework of the transaction.
Aggregation/Origination Quality
Moody's considers JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC as an
aggregator, Moody's has also reviewed the originators contributing
a significant percentage of the collateral pool (above 10%). For
these originators, Moody's reviewed their underwriting guidelines
and their policies and documentation (where available). Moody's
increased its base case and Aaa (sf) loss expectations for certain
originators of non-conforming loans where Moody's does not have
clear insight into the underwriting practices, quality control and
credit risk management. Moody's did not make an adjustment for
GSE-eligible loans, regardless of the originator, since those loans
were underwritten in accordance with GSE guidelines.
United Shore (52% by balance): The loans originated by United Shore
were mostly underwritten in accordance with Fannie Mae guidelines
through DU (High Balance Nationwide program) with overlays and a
few were underwritten to their prime jumbo guidelines. Moody's
notes that United Shore originated loans have been included in
several prime jumbo securitizations that Moody's has rated.
Performance of prime jumbo securitizations to date shows minimal
delinquencies and even less cumulative losses. United Shore's
guidelines are generally in line with its credit neutral criteria.
All prime jumbo loans must be manually underwritten and fully
documented, and no streamline documentation or documentation
waivers based on agency AUS decisions are permitted. United Shore
has overlays for loan amount, income and employment. Underwriting
guidelines require adherence to CFPB rules for ATR.
Sterling National Bank (17% by balance): The bank, a national
lender, offers fixed and adjustable rate mortgage loans secured by
residential property. Eligible property types include owner
occupied single family homes, owner occupied multi-family homes (up
to four units), investment properties (up to four units),
condominiums, co-ops, and units within a Planned Unit Development.
The loans of Sterling National Bank in this transaction are
seasoned (originated between 2014-2017). While originator quality
can affect loan-level performance, as a result of the extensive
seasoning of these mortgage loans, the origination quality of the
loans is less relevant to evaluating the future performance on the
transaction. As borrowers continue to make payments on a mortgage
loan, they progressively become less likely to default. Moody's
typically performs additional analyses for transactions which have
significant portion of loans that are seasoned 18 months' or more.
For example, Moody's took into consideration the loans' available
performance information, independent third-party pre-securitization
reviews, updated FICO scores and updated valuations. According to
available borrower pay history, only one Sterling National Bank
loan came back with a prior delinquency during the past twelve
months, which was deemed to be a servicing transfer related
delinquency and loan has since been current.
Servicing arrangement
Moody's considers the overall servicing arrangement for this pool
to be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. However,
the servicers may perform their servicing obligations through
sub-servicers. In this transaction, Nationstar (rated B2) will act
as the master servicer. The servicers are required to advance
principal and interest on the mortgage loans. To the extent that
the servicers are unable to do so, the master servicer will be
obligated to make such advances. In the event that the master
servicer, Nationstar, is unable to make such advances, the
securities administrator, Citibank (rated Aa3) will be obligated to
do so to the extent such advance is determined by the securities
administrator to be recoverable.
JPMCB (servicer): JPMCB, a wholly-owned bank subsidiary of JPMorgan
Chase & Co., is a seasoned servicer with over 20 years of
experience servicing residential mortgage loans and has
demonstrated adequate servicing ability as a primary servicer of
prime residential mortgage loans. JPMCB also is the originator with
respect to the JPMCB serviced mortgage loans and is an affiliate of
the mortgage loan seller, of the depositor and of J.P. Morgan
Securities LLC, an initial purchaser. Third-party mortgage loans
(including those serviced by JPMCB for certain unconsolidated
affiliates of JPMCB) serviced by JPMCB (by aggregate unpaid
principal balance) were $519.6 billion as of December 31, 2018. In
addition to servicing mortgage loans securitized by the depositor,
JPMCB also services mortgage loans that are held in its portfolio
and whole loans that are sold to a variety of investors.
Shellpoint (interim servicer): Shellpoint has demonstrated adequate
servicing ability as a primary servicer of prime residential
mortgage loans. Shellpoint, an approved servicer in good standing
with Ginnie Mae, Fannie Mae and Freddie Mac, has the necessary
processes, staff, technology and overall infrastructure in place to
effectively service the transaction.
Nationstar (master servicer): Nationstar is the master servicer for
the transaction and provides oversight of the servicers. Nationstar
is a mortgage servicer and lender formed in 1994 originally under
the name Nova Credit Corporation that engages in servicing
activities for itself as well as various third parties, primarily
as a "high touch" servicer and originating primarily GSE-eligible
residential mortgage loans. On August 21, 2017 Nationstar Mortgage
became known as Mr. Cooper for its mortgage servicing and
originations operations. Moody's considers Nationstar's master
servicing operation to be above average compared to its peers.
Nationstar has strong reporting and remittance procedures and
strong compliance and monitoring capabilities. The company's senior
management team has on average more than 20 years of industry
experience, which provides a solid base of knowledge and
leadership. Nationstar's oversight encompasses loan administration,
default administration, compliance, and cash management. Nationstar
is an indirectly held, wholly owned subsidiary of Nationstar
Mortgage Holdings Inc. Moody's rates Nationstar at B2.
Collateral Description
JPMMT 2019-7 is a securitization of a pool of 545 30-year,
fully-amortizing fixed-rate mortgage loans with a total balance of
$399,625,707 as of the cut-off date, with a weighted average
remaining term to maturity of 350 months, and a WA seasoning of 10
months. The relatively higher seasoning in this transaction is
partly due to the fact that all Sterling National Bank loans (17%
by balance) were originated between 2014-2017. The borrowers in
this transaction have high FICO scores and sizeable equity in their
properties. The WA current FICO score is 768 and the WA original
combined loan-to-value ratio is 69.4%. The characteristics of the
loans underlying the pool are generally comparable to other JPMMT
transactions backed by prime mortgage loans that Moody's has
rated.
In this transaction, about 12% of the pool by loan balance was
underwritten to Fannie Mae's and Freddie Mac's guidelines
(GSE-eligible loans). The GSE-eligible loans in this transaction
have a high average current loan balance of $614,480. The high
GSE-eligible loan balance in JPMMT 2019-7 is attributable to the
large number of properties located in high-cost areas, such as the
metro areas of Los Angeles-Long Beach-Anaheim, CA (18%), New
York-Newark-Jersey City (12%), San Francisco-Oakland-Hayward (8%)
and the greater San Diego- San Jose metro statistical areas (11%
combined). The top 10-metropolitan statistical areas account for
64% of the pool.
With respect to the mortgage loans, each originator or the
aggregator, as applicable, made a representation and warranty that
the mortgage loan constitutes a qualified mortgage (QM) under the
qualified mortgage rule. To satisfy the requirements of the QM rule
for a non-conforming mortgage loan, a borrower's debt-to-income
ratio cannot exceed 43%. With respect to the GSE-eligible mortgage
loans, each originator made a representation and warranty as to the
loans originated by it, that such mortgage loans were qualified
mortgages under the QM rule because those mortgage loans were
eligible for purchase by Fannie Mae or Freddie Mac.
Servicing Fee Framework
The servicing fee for loans serviced by Shellpoint and JPMCB will
be based on a step-up incentive fee structure with a monthly base
fee of $20 per loan and additional fees for servicing delinquent
and defaulted loans. The other servicers will be paid a monthly
flat servicing fee equal to one-twelfth of 0.25% of the remaining
principal balance of the mortgage loans. Shellpoint will act as
interim servicer for the JPMCB mortgage loans until the servicing
transfer date, November1, 2019 or such later date as determined by
the issuing entity and JPMCB.
The servicing fee framework is comparable to other recent JPMMT
transactions backed by prime mortgage loans that Moody's has rated.
However, while this fee structure is common in non-performing
mortgage securitizations, it is relatively new to rated prime
mortgage securitizations which typically incorporate a flat 25
basis point servicing fee rate structure. By establishing a base
servicing fee for performing loans that increases with the
delinquency of loans, the fee-for-service structure aligns monetary
incentives to the servicer with the costs of the servicer. The
servicer receives higher fees for labor-intensive activities that
are associated with servicing delinquent loans, including loss
mitigation, than they receive for servicing a performing loan,
which is less labor-intensive. The fee-for-service compensation is
reasonable and adequate for this transaction because it better
aligns the servicer's costs with the deal's performance.
Furthermore, higher fees for the more labor-intensive tasks make
the transfer of these loans to another servicer easier, should that
become necessary. By contrast, in typical RMBS transactions a
servicer can take actions, such as modifications and prolonged
workouts, that increase the value of its mortgage servicing
rights.
The incentive structure includes an initial monthly base servicing
fee of $20 for all performing loans and increases according to a
pre-determined delinquent and incentive servicing fee schedule. The
delinquent and incentive servicing fees will be deducted from the
available distribution amount and Class B-6 net WAC. The
transaction does not have a servicing fee cap, so, in the event of
a servicer replacement, any increase in the base servicing fee
beyond the current fee will be paid out of the available
distribution amount.
Third-Party Review
Three third party review firms, AMC Diligence, LLC, Clayton
Services LLC and Opus Capital Markets Consultants, LLC
(collectively, TPR firms) verified the accuracy of the loan-level
information that Moody's received from the sponsor. These firms
conducted detailed credit, valuation, regulatory compliance and
data integrity reviews on 100% of the mortgage pool. The TPR
results indicated compliance with the originators' underwriting
guidelines for majority of loans, no material compliance issues
(none are lower than a grade of "B"), and no appraisal defects.
Overall, the loans that had exceptions to the originators'
underwriting guidelines had strong documented compensating factors
such as low DTIs, low LTVs, high reserves, high FICOs, or clean
payment histories. The TPR firms also identified minor compliance
exceptions for reasons such as inadequate RESPA disclosures (which
do not have assignee liability) and TILA/RESPA Integrated
Disclosure violations related to fees that were out of variance but
then were cured and disclosed.
The property valuation review consisted of reviewing the valuation
materials utilized at origination to ensure the appraisal report
was complete and in conformity with the underwriting guidelines.
The TPR firms also reviewed each loan to determine whether a third
party valuation product was required and if required, that the
third party product value was compared to the original appraised
value to identify a value variance. In some cases, if a variance of
more than 10% was noted, the TPR firms ensured any required
secondary valuation product was ordered and reviewed. Of the loans
in the securitization population reviewed by AMC, sixteen (16)
property review "C" grades were due to missing a secondary
valuation or the secondary valuation not supporting the value
within 10% of the appraised value. Except for certain loans graded
"C" by AMC which were not subsequently remedied (secondary
valuation provided and/or value supported with an alternative
valuation product) and other loans with solely AVM valuations,
Moody's did not make any additional TPR related adjustments to its
expected or Aaa loss levels.
The property valuation portion of the TPR was conducted using,
among other things, a field review, a third-party collateral desk
appraisal (CDA), broker price opinion (BPO), automated valuation
model (AVM) or a Collateral Underwriter (CU) risk score. In some
cases, a CDA, BPO or AVM was not provided because these loans were
originated under United Shore's High Balance Nationwide program
(i.e. non-conforming loans underwritten using Fannie Mae's Desktop
Underwriter Program) and had a CU risk score less than or equal to
2.5. Moody's considers the use of CU risk score for non-conforming
loans to be credit negative due to (1) the lack of human
intervention which increases the likelihood of missing emerging
risk trends, (2) the limited track record of the software and
limited transparency into the model and (3) GSE focus on non-jumbo
loans which may lower reliability on jumbo loan appraisals.
However, for United Shore's High Balance Nationwide program
mortgage loans, Moody's did not apply an adjustment to the loss for
such loans since the sample size and valuation result of the loans
that were reviewed using a CDA (a more accurate third-party
valuation product) were sufficient and the original appraisal
balances for such loans were not significantly higher than that of
appraisal values for GSE-eligible loans.
In addition, there were loans for which the original appraisal was
evaluated using only AVMs. Moody's believes that utilizing only
AVMs as a comparison to verify the original appraisals is much
weaker and less accurate than utilizing CDAs for the entire pool.
Moody's took this framework into consideration and applied an
adjustment to its expected or Aaa loss levels for such loans.
R&W Framework
JPMMT 2019-7's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance. Its
review of the R&W framework considers the financial strength of the
R&W providers, scope of R&Ws (including qualifiers and sunsets) and
enforcement mechanisms. The R&W providers vary in financial
strength. The creditworthiness of the R&W provider determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment grade rated R&W provider lends substantial
strength to its R&Ws. Moody's analyzes the impact of less
creditworthy R&W providers case by case, in conjunction with other
aspects of the transaction.
Moody's made no adjustments to the loans for which JPMCB (Aa2),
TIAA, FSB (d/b/a TIAA Bank) and USAA Federal Savings Bank (a
subsidiary of USAA Capital Corporation, rated Aa1) provided R&Ws
since they are highly rated and/or financially stable entities. In
contrast, the rest of the R&W providers are unrated and/or
financially weaker entities. Moody's applied an adjustment to the
loans for which these entities provided R&Ws. JPMMAC will make the
mortgage loan representations and warranties with respect to
mortgage loans originated by certain originators (approx. 4% by
loan balance). For loans that JPMMAC acquired via the MAXEX
platform, MAXEX under the assignment, assumption and recognition
agreement with JPMMAC, will make the R&Ws (approx. 6.5% by loan
balance). The R&Ws provided by MAXEX to JPMMAC and assigned to the
trust are in line with the R&Ws found in other JPMMT transactions.
Five Oaks Acquisition Corp. will backstop the obligations of MaxEx
with respect to breaches of the mortgage loan representations and
warranties made by MaxEx.
No other party will backstop or be responsible for backstopping any
R&W providers who may become financially incapable of repurchasing
mortgage loans. With respect to the mortgage loan R&Ws made by such
originators or the aggregator, as applicable, as of a date prior to
the closing date, JPMMAC will make a "gap" representation covering
the period from the date as of which such R&W is made by such
originator or the aggregator, as applicable, to the cut-off date or
closing date, as applicable. Additionally, no party will be
required to repurchase or substitute any mortgage loan until such
loan has gone through the review process.
Trustee and Master Servicer
The transaction Delaware trustee is Citibank. The custodian's
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Citibank.
Nationstar, as master servicer, is responsible for servicer
oversight, and termination of servicer and for the appointment of
successor servicer. In addition, Nationstar is committed to act as
successor if no other successor servicer can be found. The master
servicer is required to advance principal and interest if the
servicer fails to do so. If the master servicer fails to make the
required advance, the securities administrator is obligated to make
such advance.
Tail Risk & Subordination Floor
This deal has a standard shifting-interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 1.60% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. The
subordinate bonds benefit from a floor as well. When the total
current balance of a given subordinate tranche plus the aggregate
balance of the subordinate tranches that are junior to it amount to
less than 1.20% of the original pool balance, those tranches that
are junior to it do not receive principal distributions. The
principal those tranches would have received is directed to pay
more senior subordinate bonds pro-rata.
In addition, until the aggregate class principal amount of the
senior certificates (other than the interest only certificates) is
reduced to zero, if on any distribution date, the aggregate
subordinate percentage for such distribution date drops below 6.00%
of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero.
Transaction Structure
The transaction uses the shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.
In addition, the pass-through rate on the bonds (other than the
Class A-R Certificates) is based on the net WAC as reduced by the
sum of (i) the reviewer annual fee rate and (ii) the capped trust
expense rate. In the event that there is a small number of loans
remaining, the last outstanding bonds' rate can be reduced to
zero.
The Class A-11 Certificates will have a pass-through rate that will
vary directly with the rate of one-month LIBOR and the Class A-11-X
Certificates will have a pass-through rate that will vary inversely
with the rate of one-month LIBOR. If the securities administrator
notifies the depositor that it cannot determine one-month libor in
accordance with the methods prescribed in the sale and servicing
agreement and a benchmark transition event has not yet occurred,
one-month LIBOR for such accrual period will be one-month LIBOR as
calculated for the immediately preceding accrual period. Following
the occurrence of a benchmark transition event, a benchmark other
than one-month LIBOR will be selected for purposes of calculating
the pass-through rate on the class A-11 certificates.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in November 2018.
JP MORGAN 2019-FL12: S&P Assigns BB(sf) Rating to Cl. PLC2 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Chase
Commercial Mortgage Securities Trust 2019-FL12's $244.9 million (of
which $158.3 million will be pooled) commercial mortgage
pass-through certificates. At the same time, S&P withdrew its
preliminary ratings on the class VRR Interest, EYT VRR Interest,
HRI VRR Interest, BMQ VRR Interest, and PLC VRR Interest
certificates at the issuer's request. S&P is not assigning ratings
to these classes.
The certificate issuance is backed by four floating-rate loans
secured by the fee interest in the Ernst & Young Tower office
building, the Hyatt Regency Indianapolis hotel, The Point at Las
Colinas office building, and the Boston Marriott Quincy hotel.
The ratings reflect S&P's view of the transaction's credit support
provided by the transaction's structure, its view of the underlying
collateral's economics, the trustee-provided liquidity, the
collateral pool's relative diversity, and its overall qualitative
assessment of the transaction.
RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-FL12
Class(i) Rating Amount ($)
A A- (sf) 150,347,000
X(ii) A- (sf) 150,347,000(ii)
EYT1(iii) BBB- (sf) 7,315,000
EYT2(iii) BB- (sf) 9,937,000
EYT3(iii) B (sf) 6,270,000
HRI1(iii) BBB- (sf) 8,113,000
HRI2(iii) BB- (sf) 12,882,000
HRI3(iii) B+ (sf) 4,275,000
BMQ1(iii) BBB- (sf) 6,992,000
BMQ2(iii) BB- (sf) 11,020,000
BMQ3(iii) B (sf) 6,270,000
PLC1(iii) BBB- (sf) 5,339,000
PLC2(iii) BB (sf) 3,895,000
VRR Interest(iv) NR 7,913,000
EYT VRR Interest(iii)(iv) NR 1,238,000
HRI VRR Interest(iii)(iv) NR 1,330,000
BMQ VRR Interest(iii)(iv) NR 1,278,000
PLC VRR Interest(iii)(iv) NR 486,000
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)Interest-only class. Notional balance.
(iii)Non-pooled loan-specific certificates. The class EYT1, EYT2,
and EYT3 certificates are tied to the Ernst & Young Tower loan; the
class HRI1, HRI2, and HRI3 certificates are tied to the Hyatt
Regency Indianapolis loan; the class BMQ1, BMQ2, and BMQ3
certificates are tied to the Boston Marriott Quincy loan; and the
class PLC1, and PLC2 certificates are tied to The Point at Las
Colinas loan.
(iv)Non-offered vertical risk retention certificates.
NR--Not rated.
JP MORTGAGE 2019-INV2: Fitch Rates $3.876MM Class B-5 Notes Bsf
---------------------------------------------------------------
Fitch Ratings assigns ratings to J.P. Morgan Mortgage Trust
2019-INV2 as follows:
123456789012345678901234567890123456789012345678901234567890123456
-- $426,282,000 class A-1 exchangeable notes 'AA+sf';
Outlook Stable;
-- $387,520,000 class A-2 exchangeable notes 'AAAsf';
Outlook Stable;
-- $251,888,000 class A-3 exchangeable notes 'AAAsf';
Outlook Stable;
-- $188,916,000 class A-4 exchangeable notes 'AAAsf';
Outlook Stable;
-- $62,972,000 class A-5 exchangeable notes 'AAAsf';
Outlook Stable;
-- $157,274,000 class A-6 notes 'AAAsf'; Outlook Stable;
-- $94,614,000 class A-7 exchangeable notes 'AAAsf';
Outlook Stable;
-- $31,642,000 class A-8 notes 'AAAsf'; Outlook Stable;
-- $43,943,000 class A-9 notes 'AAAsf'; Outlook Stable;
-- $19,029,000 class A-10 notes 'AAAsf'; Outlook Stable;
-- $135,632,000 class A-11 notes 'AAAsf'; Outlook Stable;
-- $135,632,000 class A-11-X notional notes 'AAAsf';
Outlook Stable;
-- $135,632,000 class A-12 exchangeable notes 'AAAsf';
Outlook Stable;
-- $135,632,000 class A-13 exchangeable notes 'AAAsf';
Outlook Stable;
-- $38,762,000 class A-14 exchangeable notes 'AA+sf';
Outlook Stable;
-- $38,762,000 class A-15 notes 'AA+sf'; Outlook Stable;
-- $277,083,300 class A-16 exchangeable notes 'AA+sf';
Outlook Stable;
-- $149,198,700 class A-17 exchangeable notes 'AA+sf';
Outlook Stable;
-- $426,282,000 class A-X-1 notional notes 'AA+sf';
Outlook Stable;
-- $426,282,000 class A-X-2 notional exchangeable notes
'AA+sf'; Outlook Stable;
-- $135,632,000 class A-X-3 notional exchangeable notes
'AAAsf'; Outlook Stable;
-- $38,762,000 class A-X-4 notional notes 'AA+sf';
Outlook Stable;
-- $18,166,000 class B-1 exchangeable notes 'AAsf';
Outlook Stable;
-- $18,166,000 class B-1-A notes 'AAsf'; Outlook Stable;
-- $18,166,000 class B-1-X notional notes 'AAsf';
Outlook Stable;
-- $14,774,000 class B-2 exchangeable notes 'Asf';
Outlook Stable;
-- $14,774,000 class B-2-A notes 'Asf'; Outlook Stable;
-- $14,774,000 class B-2-X notional notes 'Asf'; Outlook Stable;
-- $10,415,000 class B-3 exchangeable notes 'BBBsf';
Outlook Stable;
-- $10,415,000 class B-3-A notes 'BBBsf'; Outlook Stable;
-- $10,415,000 class B-3-X notional notes 'BBBsf';
Outlook Stable;
-- $7,024,000 class B-4 notes 'BBsf'; Outlook Stable;
-- $3,876,000 class B-5 notes 'Bsf'; Outlook Stable.
Fitch will not be rating the following class:
-- $3,875,316 class B-6 notes.
TRANSACTION SUMMARY
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by J.P. Morgan Mortgage Trust
2019-INV2 (JPMMT 2019-INV2). The transaction is JPMMT's second
transaction in 2019 comprised solely of investor loans that are
underwritten to the borrower's credit risk. The certificates are
supported by 1176 prime-quality investor loans with a total balance
of $484.41 million as of the cutoff date. JPMorgan Chase Bank N.A.
originated 37% of the loans, 32% by Quicken Loans, 18% by United
Shore Financial Services and the remaining various originators each
contributed less than 10% to the transaction.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral consists of
30-year fixed rate fully amortizing loans, seasoned approximately
four months in aggregate. Approximately 55% of the loans were
originated through a retail channel. Although 100% of the borrowers
in the pool are investors, the borrowers in this pool have strong
credit profiles (769 Fitch Model FICO) and relatively low leverage
(69.4% sLTV. 66.1% CLTV).
100% Investor Loans (Negative): One hundred percent of the loans in
the pool were made to investors, but are not investor cash flow
loans (DSCR loans). The loans in the pool were underwritten to the
borrower's credit risk unlike investor cashflow loans, which are
underwritten to the property's income. Compared to owner occupied
homes, Fitch views investor loans as risker and increases the PD by
50% and LS by 10% to reflect the additional risk compared to
owner-occupied homes. As a result, the 'AAA' expected loss is 4.75%
higher than a 100% owner-occupied pool with the same
characteristics.
35% Multifamily (Negative): Thirty five percent of the loans in the
pool are multifamily homes, which Fitch views as riskier than
single-family homes, since the borrower may be relying on the
rental income to pay the mortgage payment on the property. To
account for this risk, Fitch adjusts the PD upwards by 25% from the
baseline for multifamily homes.
The 'AAA' expected loss is 0.5% higher than if these loans were
single-family homes with the same characteristics.
High Geographic Concentration (Negative): The pool's primary
concentration is in California, representing 60% of the pool.
Approximately 43% of the pool is located in the top three
metropolitan statistical areas (MSAs): Los Angeles (24.4%), San
Francisco (11.1%) and San Jose (7.5%). Given the pool's high
regional concentration, the 'AAA' expected loss increased 0.47%.
Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. JP Morgan Chase has an
extensive operating history in mortgage aggregations and is
assessed by Fitch as an 'Above-Average' aggregator. The bank has a
developed sourcing strategy and maintains strong internal controls
that leverage the company's enterprise wide risk management
framework.
Approximately 50% of loans are serviced by Fitch-rated servicers,
and 50% of the loans are serviced by non-Fitch-rated servicers.
Nationstar Mortgage, LLC, rated 'RMS2+', is the named master
servicer for the transaction and is responsible for providing
servicer oversight to account for non-reviewed entities. Fitch's
'AAAsf' loss expectations were reduced by 0.58% to reflect lower
operational risks.
Representation and Warranty Framework-Limited Automatic Review
(Negative): The loan-level representations and warranties (R&Ws)
are mostly consistent with a higher tier framework, but the
framework has knowledge qualifiers without a clawback provision
that ultimately contributed to its Tier 2 assessment. Fitch
increased its loss expectations by 0.58% at the 'AAAsf' rating
category to address the limitations of the framework and the
non-investment-grade counterparty risk of the individual R&W
providers.
Third-Party Due Diligence (Positive): Third-party due diligence was
performed on 100% of loans in the transaction by three different
third-party review (TPR) firms; two firms are assessed by Fitch as
'Acceptable - Tier 1', while the remaining firm is assessed as
'Acceptable - Tier 2'. The review confirmed sound origination
practices with no material exceptions. Loans with a final grade of
'B' were due to non-material exceptions that were mitigated with
strong compensating factors. Fitch applied a credit to loans that
received a full due diligence scope, which reduced the 'AAAsf' loss
expectation by 0.42%.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 1.20% of the
original balance will be maintained for senior certificates and a
subordination floor of 0.8% of the original balance will be
maintained for the subordinate certificates.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper market value declines at the
national level. The analysis assumes market value declines of 10%,
20% and 30%, in addition to the model-projected 5.2%.
The defined rating sensitivities determine the stresses to MVDs
that would reduce a rating by one full category, to non-investment
grade and to 'CCCsf'.
CRITERIA VARIATION
Fitch's analysis incorporated three criteria variations to the
"U.S. RMBS Rating Criteria". The first two variations relate to
originator operational assessments. Per criteria, Fitch expects to
have an outstanding operational assessment conducted within 12-18
months of securitization date on originators contributing over 15%
of an RMBS transaction pool. Fitch has reviewed both Quicken Loans
and United Shore Financial Services in the past and was comfortable
with their origination platform.
Fitch was comfortable with Quicken Loans and United Shore
contributing over 15% of the loans in this transaction primarily
because JP Morgan is the aggregator and is assessed by Fitch as
'Above Average'. JP Morgan has an established loan sourcing
strategy and strong internal controls that leverage its enterprise
wide risk management framework. The aggregator also manages an
internal due diligence team that reviews acquired loans in addition
to leveraging independent TPR firms. In addition, 100% of the
transaction pool received loan level due diligence from independent
TPR firms that are assessed by Fitch as 'Acceptable - Tier 1' and
'Acceptable - Tier 2'. The results of the due diligence review
confirmed sound origination processes with no indication of
material defects.
Both Quicken Loans and United Shore are large contributors to
non-agency PLS RMBS with over $1.5 and $2 billion of production
included in non-agency securitization since 2016, respectively.
Performance of this production has been strong with minimal
defaults, and the credit characteristics are similar to other prime
loans included in non-agency PLS. All loans in this transaction
sourced from Quicken Loans and United Shore have been current since
origination and have not exhibited any early payment defaults
(EPDs). There was no rating impact due to these variations.
The third variation relates to AVM values being used as a secondary
valuation product. Per criteria, AVMs are not accepted as a
secondary value to validate the original appraised property value.
AVMs were used on approximately 15% of loans in the transaction
pool (178 loans).
The use of AVMs for this transaction does not materially increase
credit risk as 88% of these loans received a high confidence score
from ClearCapital. A sensitivity analysis was performed on the
remaining 12% of loans with AVMs that did not have high confidence
scores. The analysis treated these loans as not receiving due
diligence credit in the model and the test did not increase Fitch's
proposed credit enhancement. There was no rating impact due to this
variation.
KKR CLO 27: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to KKR CLO 27
Ltd.'s fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by primarily broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.
The preliminary ratings are based on information as of Sept. 30,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
KKR CLO 27 Ltd./KKR CLO 27 LLC
Class Rating Amount (mil. $)
A AAA (sf) 288.00
B-1(i) AA (sf) 41.75
B-2 AA (sf) 10.00
C (deferrable) A (sf) 32.65
D (deferrable) BBB- (sf) 20.25
E (deferrable) BB- (sf) 19.15
Subordinated notes NR 37.40
Exchangeable note combinations(i)
Class Rating Maximum principal
amount (mil. $)
Combination 1(iv)
B-1A(ii) AA (sf) 41.75
B-1AX(iii) AA (sf) N/A
Combination 2(iv)
B-1B(ii) AA (sf) 41.75
B-1BX(iii) AA (sf) N/A
Combination 3(iv)
B-1C(ii) AA (sf) 41.75
B-1CX(iii) AA (sf) N/A
Combination 4(iv)
B-1D(ii) AA (sf) 41.75
B-1DX(iii) AA (sf) N/A
(i)The class B-1 notes will be exchangeable for proportionate
interest in combinations of principal notes and interest-only notes
of the same class called modifiable and splittable/combinable
tranche (MASCOT) P&I notes. In aggregate, the cost of debt,
outstanding balance, stated maturity, subordination levels, and
payment priority following such an exchange would remain the same.
Reference the exchangeable note combinations section for
combinations.
(ii)MASCOT P&I notes will have the same principal balance as the
class B-1 notes, as applicable, surrendered in such exchange.
(iii)Interest-only notes earn a fixed rate of interest on the
notional balance, are not entitled to any principal payments. The
notional balance will equal the principal balance of the
corresponding MASCOT P&I note of such combination.
(iv)Applicable combinations will have an aggregate interest rate
equal to that of the exchanged note.
NR--Not rated.
P&I--Principal and interest.
LB COMMERCIAL 2007-C3: Moody's Cuts Class C Debt Rating to Csf
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings on eight classes and
downgraded the rating on one class in LB Commercial Mortgage Trust
2007-C3, Commercial Mortgage Pass-Through Certificates, Series
2007-C3, as follows:
Cl. A-J, Affirmed B3 (sf); previously on Mar 16, 2018 Affirmed B3
(sf)
Cl. A-JFL, Affirmed B3 (sf); previously on Mar 16, 2018 Affirmed B3
(sf)
Cl. B, Affirmed Caa2 (sf); previously on Mar 16, 2018 Affirmed Caa2
(sf)
Cl. C, Downgraded to C (sf); previously on Mar 16, 2018 Affirmed
Caa3 (sf)
Cl. D, Affirmed C (sf); previously on Mar 16, 2018 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Mar 16, 2018 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Mar 16, 2018 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Mar 16, 2018 Affirmed C (sf)
Cl. X*, Affirmed C (sf); previously on Mar 16, 2018 Downgraded to C
(sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings on seven principal and interest (P&I) classes were
affirmed due to Moody's expected losses and principal recovery from
the remaining loans in the pool.
The rating on Cl. C was downgraded due to realized losses and an
increase in anticipated losses from specially serviced and troubled
loans.
The rating on the IO class was affirmed based on the credit quality
of its referenced classes.
Moody's rating action reflects a base expected loss of 69.5% of the
current pooled balance, compared to 46.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 11.3% of the
original pooled balance, compared to 10.1% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating the interest-only class were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 84.4% of the pool is in
special servicing and Moody's has identified an additional troubled
loan representing 3.3% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior classes and the recovery as a pay down of principal to
the most senior classes.
DEAL PERFORMANCE
As of the September 17, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $193.8
million from $3.2 billion at securitization. The certificates are
collateralized by seven remaining mortgage loans. Four of the
remaining loans, constituting 84.4% of the pool, are currently in
special servicing.
Fifty-five loans have been liquidated from the pool, contributing
to an aggregate realized loss of $230.2 million (for an average
loss severity of 52%).
The largest specially serviced loan is the University Mall loan
($92.0 million -- 47.5% of the pool), which is secured by an
approximately 490,000 square foot (SF) collateral portion of a
regional mall located in South Burlington, Vermont. The property is
the largest enclosed shopping center in the state and is located
near the campus of the University of Vermont. The loan transferred
to special servicing in July 2015 for imminent default and the
property became REO in October 2016. The mall is currently anchored
by Sears (non-collateral), Kohl's, and J.C. Penney. The former
anchor Bon-Ton closed its location in January 2018 and was
backfilled by Target in October 2018. A number of additional leases
had been executed in 2018 that includes H&M, Olympia Sports, and
Victoria's Secret as well as several temporary tenants. The special
servicer indicated they have previously marketed the property for
sale, but marketing efforts have ceased.
The second largest specially serviced exposure includes two
cross-collateralized loans, the 50 Danbury and 64 Danbury loans
($66.4 million -- 34.3% of the pool), which are secured by two
Class A properties in Wilton, Connecticut. The properties form part
of a larger 33-acre office park campus. A significant portion of
the vacancy occurred in 2017 due to AIG's space reduction in 2017
from approximately 28% to 19% of the net rentable area (NRA) and
D.L. Ryan vacating in the same year from the property who accounted
for approximately 27% of NRA. The property's NOI has significantly
declined due to the lower occupancy. The special servicer indicated
they are proceeding toward foreclosure while discussing disposition
options.
The third largest specially serviced loan is the Walgreens
Eastpoint loan ($5.2 million -- 2.7% of the pool), which is secured
by a 13,905 SF retail property located approximately 11 miles
northeast of Detroit, MI. The property was originally 100% occupied
by a Walgreens. The loan transferred to special servicing in 2014
after it was unable to refinance due to the Walgreens early
termination option. The property subsequently became REO in 2016.
Walgreens vacated the property in 2017 but continued to make rent
payments until a termination agreement was executed in 2018. A
lease was signed with Foot Locker in early 2019 for a ten-year
term. As of August 2019, the property was 100% occupied.
Moody's has also assumed a high default probability for one poorly
performing loan, constituting 3.3% of the pool, and has estimated
an aggregate loss of $134.7 million (a 79% expected loss on
average) from the specially serviced and troubled loans.
As of the September 2019 remittance statement cumulative interest
shortfalls were $56.8 million and impact up to the A-J and A-JFL
classes. Moody's anticipates interest shortfalls will continue
because of the exposure to specially serviced loans and/or modified
loans. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal entitlement
reductions (ASERs), loan modifications and extraordinary trust
expenses.
The three performing non-specially serviced loans represent 15.6%
of the pool balance. The largest performing loan is the
Chesterfield East Eight loan ($13.3 million -- 6.8% of the pool),
which is secured by an approximately 89,000 SF retail center
located in Chesterfield, Missouri. The largest tenant, Dick's
Sporting Goods occupies approximately 62% of NRA with a lease
expiration in January 2028. As of March 2019, the property was 89%
leased, compared to 93% in September 2017. The loan has amortized
14% since securitization and matures in July 2022. Moody's LTV and
stressed DSCR are 91% and 1.13X, respectively, compared to 85% and
1.21X at the last review.
The second largest performing loan is the Plaza on San Felipe loan
($10.5 million -- 5.4% of the pool), which is secured by an
approximately 36,000 SF retail center located in Houston, Texas.
The largest tenant, Methodist Hospital System, occupies
approximately 19% of NRA with a lease expiration in 2026. As of
December 2018, the property was 100% occupied, unchanged since
2012. The loan has amortized 8% since securitization and matures in
July 2022. Moody's LTV and stressed DSCR are 70% and 1.42X,
respectively, compared to 80% and 1.25X at the last review.
The third largest performing loan is the Stonecrest Parc loan ($6.5
million -- 3.3% of the pool), which is secured by an approximately
27,000 SF retail property located in Lithonia, Georgia. The
property is located on a short access road that connects to the
Mall at StoneCrest. The property consists of six units and the
largest tenant, Men's Warehouse, occupies approximately 22% of NRA
with a lease expiration in 2023. As of June 2019, the property was
74% occupied, compared to 89% in March 2019. The decline in
occupancy was due to one tenant, representing 15% of the NRA,
vacating the property prior to its lease expiration in 2020. The
loan has amortized 8% since securitization and matures in July
2022. The loan is on the master servicer's watchlist as a result of
low DSCR. Due to the decline in occupancy and DSCR, Moody's
recognized this as a troubled loan.
MADISON PARK XXXIII: S&P Assigns Prelim BB- (sf) Rating to E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Madison Park
Funding XXXIII Ltd./Madison Park Funding XXXIII LLC's floating-rate
notes.
The note issuance is a CLO transaction backed by the diversified
collateral pool, which consists primarily of broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.
The preliminary ratings are based on information as of Sept. 30,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC
Class Rating Amount (mil. $)
A AAA (sf) 512.00
B-1 AA (sf) 50.00
B-2 AA (sf) 46.00
C (deferrable) A (sf) 48.00
D (deferrable) BBB- (sf) 48.00
E (deferrable) BB- (sf) 32.00
Subordinated notes NR 70.00
NR--Not rated.
MORGAN STANLEY 2013-C11: Moody's Lowers Cl. E Certs Rating to Caa1
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings on seven classes and
downgraded the ratings on five classes in Morgan Stanley Bank of
America Merrill Lynch Trust 2013-C11, Commercial Mortgage
Pass-Through Certificates as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)
Cl. B, Downgraded to A1 (sf); previously on Nov 9, 2018 Affirmed
Aa3 (sf)
Cl. C, Downgraded to Baa2 (sf); previously on Nov 9, 2018 Affirmed
A3 (sf)
Cl. D, Downgraded to B1 (sf); previously on Nov 9, 2018 Downgraded
to Ba2 (sf)
Cl. E, Downgraded to Caa1 (sf); previously on Nov 9, 2018
Downgraded to B3 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Nov 9, 2018 Downgraded to
Caa3 (sf)
Cl. G, Affirmed C (sf); previously on Nov 9, 2018 Downgraded to C
(sf)
Cl. X-A*, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)
Cl. PST**, Downgraded to A2 (sf); previously on Nov 9, 2018
Affirmed A1 (sf)
* Reflects Interest Only Classes
** Reflects Exchangeable Classes
RATINGS RATIONALE
The ratings on four P&I classes, Cl. A-AB, A-3, A-4 and A-S, were
affirmed because the transaction's key metrics, including Moody's
loan-to-value ratio, Moody's stressed debt service coverage ratio
and the transaction's Herfindahl Index, are within acceptable
ranges. The ratings on Cl. F and Cl. G were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses. Class G has already experienced a 51% loss from a
previously liquidated loan.
The ratings on four P&I classes were downgraded due to a decline in
credit support as well as the decline in pool performance driven
primarily by the three largest loans. The three largest loans
represent 40% of the outstanding pooled balance and are secured by
regional malls that have experienced declines in net operating
income. The loans include Westfield Countryside, The Mall at Tuttle
Crossing and Southdale Center. Furthermore, the credit support of
these four classes has declined due to the significant losses from
the previously liquidated Matrix Corporate Center loan.
The rating on the IO class, Cl. X-A, was affirmed based on the
credit quality of the referenced classes.
The rating on the exchangeable class, Cl. PST, was downgraded due
to a decline in the credit quality of the referenced exchangeable
classes.
Moody's rating action reflects a base expected loss of 2.6% of the
current pooled balance, compared to 8.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.1% of the
original pooled balance, compared to 7.0% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except exchangeable
classes and interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The principal methodology used in
rating exchangeable class was "Moody's Approach to Rating
Repackaged Securities" published in March 2019. The methodologies
used in rating interest-only class were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017, and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.
DEAL PERFORMANCE
As of the September 17, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 31% to $595 million
from $856 million at securitization. The certificates are
collateralized by 30 mortgage loans ranging in size from less than
1% to 16% of the pool, with the top ten loans (excluding
defeasance) constituting 72% of the pool. Four loans, constituting
10% of the pool, have defeased and are secured by US government
securities. The transaction has a heavy concentration to regional
malls, representing 40% of the pool balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 11, compared to 13 at Moody's last review.
Four loans, constituting 10% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $45.6 million (for a loss severity of
78%). There are no loans currently in special servicing.
Moody's has assumed a high default probability for one poorly
performing loan, representing less than 0.5%. The loan is secured
by a vacant standalone retail property. The loan remains current on
its debt service payments due to the former tenant continuing to
pay rent under its original lease terms.
Moody's received full year 2018 operating results for 97% of the
pool, and partial year 2019 operating results for 52% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 106%, compared to 100% at Moody's last
review. Moody's conduit component excludes loans with structured
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 20% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.3%.
Moody's actual and stressed conduit DSCRs are 1.50X and 1.08X,
respectively, compared to 1.56X and 1.10X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 40% of the pool balance. The
largest loan is the Westfield Countryside Loan ($97.8 million --
16.4% of the pool), which represents a pari-passu portion of a
$151.6 million mortgage loan. The loan is secured by a 465,000
square foot (SF) component of an approximately 1.26 million square
foot (SF) super-regional mall located in Clearwater, Florida
approximately 20 miles west of Tampa. The mall is anchored by
Dillard's, Macy's and JC Penney, all of which are non-collateral.
Sears (non-collateral) initially downsized its location in 2014 and
closed the remainder of its space in 2018. The former Sears space
was partially backfilled by a Whole Food's and Nordstrom Rack. The
collateral portion was 90% leased as of June 2019, compared to 91%
in December 2018, 92% in December 2017 and 93% in 2016. The
property's NOI has declined annually since 2015 as a result of
declining revenue and increased operating expenses. The reported
2018 NOI was approximately 21% lower than in 2013. The loan has
amortized 2.2% since securitization and Moody's LTV and stressed
DSCR are 135% and 0.82X, respectively, compared to 112% and 0.97X
at Moody's last review.
The second largest loan is the Mall at Tuttle Crossing Loan ($88.9
million -- 14.9% of the pool), which represents a pari-passu
portion of a $117 million loan. The loan is secured by a 385,000
square foot (SF) component of an approximately 1.13 million square
foot (SF) super-regional mall located in Dublin, Ohio approximately
17 miles northwest of Columbus. The mall is currently anchored by
JC Penney, Scene 75 and Macy's (all three of which are
non-collateral). Scene 75, an indoor entertainment center,
backfilled the former Macy's Home Store (20% of total mall NRA)
that closed in 2017. The mall current has one non-collateral vacant
anchor space, a former Sears (149,000 SF), that closed its location
in early 2019. The collateral portion was 76% leased as of June
2019, compared 82% in December 2017, 87% in December 2016 and 88%
in December 2015. In-line occupancy dropped to 71% in June 2019,
compared to 77% at Dec 2018 and 82% in December 2017. Several
national brands that vacated over the last two years include
Abercrombie & Fitch, The Limited, Men's Wearhouse, Panera Bread,
Starbucks, The Gap, Godiva Chocolatier, Perfumania, Sleep Number
and Teavana. The property's NOI declined significantly in 2018 due
to declining revenues. The loan has amortized 6% since
securitization and Moody's LTV and stressed DSCR are 105.0% and
1.10X, respectively, compared to 95.0% and 1.14X at the last
review.
The third largest loan is the Southdale Center Loan ($50.5 million
-- 8.5% of the pool), which represents a pari-passu interest of a
$142.2 million loan. The loan is secured by a 635,000 square foot
component of a 1.23 million square foot super-regional mall located
in Edina, Minnesota, approximately 9 miles south of Minneapolis.
While the property is located only six miles away from the Mall of
America, the property serves local consumers, while the Mall of
America is considered to be a tourist shopping destination. The
mall is currently anchored by a Macy's (non-collateral) and a
12-screen American Multi-Cinema movie theater. The property has
experienced multiple big box closures including Herberger's in
August 2018, and JC Penney (non-collateral) and Gordmans (44,087
SF) in 2017. The in-line occupancy as of December 2018 was 77%,
compared to 82% in December 2017 and 84% in December 2016. The
property is owned and managed by Simon Property Group, Inc. The
former JC Penney space is being backfilled by a combination of
health club, restaurant and co-working office space which is
expected to open in December 2019. Servicer commentary also
indicates the borrower is marketing the remaining vacant space. The
loan benefits from amortization and Moody's LTV and stressed DSCR
are 113% and 0.94X, respectively, compared to 112% and 0.92X at
Moody's last review.
MORGAN STANLEY 2013-C13: Fitch Affirms B- Rating on Class G Certs
-----------------------------------------------------------------
Fitch Ratings upgraded four and affirmed 10 classes of Morgan
Stanley Bank of America Merrill Lynch Trust, commercial mortgage
pass-through certificates, series 2013-C13.
MSBAM 2013-C13
Current Rating Prior Rating
Class A-2 61763BAR5; LT AAAsf Affirmed; previously at AAAsf
Class A-3 61763BAT1; LT AAAsf Affirmed; previously at AAAsf
Class A-4 61763BAU8; LT AAAsf Affirmed; previously at AAAsf
Class A-S 61763BAW4; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 61763BAS3; LT AAAsf Affirmed; previously at AAAsf
Class B 61763BAX2; LT AAsf Upgrade; previously at AA-sf
Class C 61763BAZ7; LT Asf Upgrade; previously at A-sf
Class D 61763BAC8; LT BBB-sf Affirmed; previously at BBB-sf
Class E 61763BAE4; LT BB+sf Affirmed; previously at BB+sf
Class F 61763BAG9; LT BB-sf Affirmed; previously at BB-sf
Class G 61763BAJ3; LT B-sf Affirmed; previously at B-sf
Class PST 61763BAY0; LT Asf Upgrade; previously at A-sf
Class X-A 61763BAV6; LT AAAsf Affirmed; previously at AAAsf
Class X-B 61763BAA2; LT AAsf Upgrade; previously at AA-sf
KEY RATING DRIVERS
Stable Performance and Lower Loss Expectations: The upgrades
reflect the stable performance of the majority of the remaining
pool and loss expectations slightly lower than at Fitch's last
rating action. There have been no realized losses to date. Three
loans (3.4% of the pool), which are outside of the Top 15, have
been identified as Fitch Loans of Concern (FLOCs), of which two
(1.9%) are currently in special servicing.
Increasing Credit Enhancement: Credit enhancement has improved
since issuance from continued amortization and the full repayment
of three loans (3.5% of the original pool balance) since Fitch's
last rating action. As of the September 2019 distribution date, the
pool's aggregate principal balance has paid down by 13.5% to $860.8
million from $995.3 million at issuance. Four loans (17.4% of the
current pool) are full-term interest only, and 19 loans (39%),
which had a partial-term interest-only period at issuance, have all
begun amortizing. In addition, five loans (5.5%) are fully
defeased.
Alternative Loss Considerations: Prior to considering upgrades for
classes B, C, X-B and PST, Fitch conducted a sensitivity analysis
by applying an additional NOI haircut and increased stressed cap
rates for all loans in the pool. This increased loss scenario did
not affect the ability to upgrade these classes.
ADDITIONAL CONSIDERATIONS
Fitch Loans of Concern; Specially Serviced Loans: The largest FLOC
is the specially serviced 1200 Howard Blvd. loan (1.7%), which is
secured by an 87,011 sf suburban office building in Mount Laurel,
NJ. The loan transferred to special servicing in April 2018 due to
the borrower completing a non-permitted equity transfer in
bankruptcy and change in management company without lender consent.
The loan has been in payment default since November 2018. A
receiver has been appointed, and the special servicer is completing
the foreclosure action.
The second largest FLOC is the Pacific Town Center loan (1.5%),
which is secured by a 143,217sf retail center in Stockton, CA.
Occupancy declined to 63% after Toys R Us (35% NRA) vacated in
2018. A temporary lease was executed with Spirit Halloween (a
seasonal tenant), while the borrower works to secure a new
long-term tenant. The loan has remained current since issuance.
Retail Concentration/Regional Mall Exposure: Retail properties
account for 59.7% of the pool, including the two largest loans
(28.8%), which are secured by regional malls. The largest loan is
Stonestown Galleria (14.9%), which is secured by 585,758 sf of an
853,546 sf regional mall in San Francisco, CA. Overall performance
has been stable since issuance. Servicer-reported occupancy was 97%
and NOI DSCR was 1.79x as of YTD June 2019. Nordstrom (28% NRA), a
collateral anchor, is closing this location in September 2019,
prior to its April 2022 lease expiration. Target has already
executed a lease to expand into approximately 33% of Nordstrom's
space. As a result, occupancy will decline to 79%. In addition, the
sponsor is actively redeveloping a vacant non-collateral anchor
space, previously occupied by Macy's, into a mixed-use space.
Leases have been executed with Whole Foods, Regal Cinemas and
Sports Basement, with scheduled occupancy in the middle of 2020.
In-line sales have improved since issuance to $1,016 psf ($584 psf
excluding Apple).
The second largest loan is The Mall at Chestnut Hill (13.9%), which
is secured by 168,642 sf of a 465,895 sf reginal mall in Newton, MA
and anchored by Bloomingdales (non-collateral). Performance has
been relatively stable since issuance. Servicer-reported collateral
occupancy was 84% as of June 2019 and NOI DSCR was 2.17x as of YE
2018. As of YE 2017, in-line sales were $787 psf ($565 psf
excluding Apple).
Pool Concentrations: Fifty-eight of the original 63 loans remain in
the pool. Retail, hotel and multifamily properties comprise 59.7%,
14.3% and 11.6% of the pool, respectively. The top 10 loans account
for 52.1% of the pool. Loan maturities are concentrated in 2023
(95%).
RATING SENSITIVITIES
The Stable Rating Outlooks for all classes reflect the stable
performance of the majority of the underlying pool and expected
continued amortization. Upgrades to classes B, C, X-B, and PST
reflect lower loss expectations and increased credit enhancement.
Further rating upgrades could occur with improved pool performance
and increased credit enhancement from additional paydown or
defeasance. Rating downgrades could occur should overall pool
performance decline significantly.
MORGAN STANLEY 2017-HR2: Fitch Affirms Class H-RR Debt at B-sf
--------------------------------------------------------------
Fitch affirmed 16 classes of Morgan Stanley Capital I Trust
2017-HR2.
MSC 2017-HR2
Current Rating Prior Rating
Class A-1 61691NAA3; LT AAAsf Affirmed; previously at AAAsf
Class A-2 61691NAB1; LT AAAsf Affirmed; previously at AAAsf
Class A-3 61691NAD7; LT AAAsf Affirmed; previously at AAAsf
Class A-4 61691NAE5; LT AAAsf Affirmed; previously at AAAsf
Class A-S 61691NAH8; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 61691NAC9; LT AAAsf Affirmed; previously at AAAsf
Class B 61691NAJ4; LT AA-sf Affirmed; previously at AA-sf
Class C 61691NAK1; LT A-sf Affirmed; previously at A-sf
Class D 61691NAN5; LT BBB-sf Affirmed; previously at BBB-sf
Class E-RR 61691NAQ8; LT BBB-sf Affirmed; previously at BBB-sf
Class F-RR 61691NAS4; LT BB+sf Affirmed; previously at BB+sf
Class G-RR 61691NAU9; LT BB-sf Affirmed; previously at BB-sf
Class H-RR 61691NAW5; LT B-sf Affirmed; previously at B-sf
Class X-A 61691NAF2; LT AAAsf Affirmed; previously at AAAsf
Class X-B 61691NAG0; LT AA-sf Affirmed; previously at AA-sf
Class X-D 61691NAL9; LT BBB-sf Affirmed; previously at BBB-sf
KEY RATING DRIVERS
Stable Loss Expectations: The pool is performing in line with
Fitch's expectations at issuance. There is only one loan on the
servicer's watchlist. Sheraton Novi is the 15th largest loan in the
pool and is on the watchlist due to a decline in property
performance. The loan is secured by a 238-key, seven-story,
full-service hotel located in Novi, Michigan. Occupancy has dropped
to 59% as of the TTM June 2019 from 71% at issuance. Additionally,
RevPAR has fallen to $71 as of the TTM June 2019 from $84 at
year-end 2018. According to the borrower, the decline in
performance is attributed to the hotel's current renovations that
result in an average of 101 rooms offline, per day. Performance is
expected to improve once the renovations are complete.
Minimal Changes to Credit Enhancement: The deal closed in December
of 2017. Since then, the pool has amortized 0.56%. Nineteen loans
representing 67.6% of the pool balance are interest only for the
full term, which is significantly higher than other similar vintage
deals. Three loans representing 12.4% of the pool are scheduled to
mature in 2022, and all remaining loans are scheduled to mature in
2027. There are currently no specially serviced or delinquent
loans.
Additional Considerations:
Above-Average Retail Concentration; Diverse Property Types. The
pool's largest property type is retail at 30.1%, which is greater
than other similar vintage deals. Although the retail concentration
is above average, the pool has a diverse range of property types.
The second and third largest pool concentrations are office at
16.9% and multifamily at 13.6%. Hotel properties comprise only 11%
of the pool. Overall, there are 12 retail properties, consisting of
a mix of stand-alone, anchored shopping centers, and a lifestyle
center. None of the properties are regional malls.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
MSJP COMMERCIAL 2015-HAUL: Fitch Affirms BBsf Rating on Cl. E Debt
------------------------------------------------------------------
Fitch Ratings affirmed all classes of MSJP Commercial Mortgage
Securities Trust 2015-HAUL.
MSJP 2015-HAUL
Current Rating Prior Rating
Class A 553697AA1; LT AAAsf Affirmed; previously at AAAsf
Class B 553697AG8; LT AA-sf Affirmed; previously at AA-sf
Class C 553697AJ2; LT A-sf Affirmed; previously at A-sf
Class D 553697AL7; LT BBB-sf Affirmed; previously at BBB-sf
Class E 553697AN3; LT BBsf Affirmed; previously at BBsf
Class X-A 553697AC7; LT AAAsf Affirmed; previously at AAAsf
Class X-B 553697AE3; LT AA-sf Affirmed; previously at AA-sf
KEY RATING DRIVERS
Performance As Expected: The affirmations are the result of
stable-to-improved occupancy and gross potential rent, as well as
the continued amortization of the loan as expected since issuance.
The portfolio's occupancy has increased from 77.5% in 2010 to 85.6%
at YE 2018, but is slightly below YE 2017 occupancy of 87.1%.
However, the master servicer's reported net cash flow (NCF)
includes income and related expenses from U-Haul's moving
businesses, which Fitch excluded from its issuance NCF as it is not
part of the securitized collateral. Additionally, certain operating
expense items, such as payroll & benefits, property insurance and
utilities have increased since issuance; some of these may include
expenses from non-collateral items. Fitch has inquired about these
increases from the servicer, but has not received a response.
Although the YE 2018 Fitch-stressed NCF is 6% below the Fitch YE
2017 NCF and 15% below the Fitch issuance NCF, largely due to the
increased operating expenses, Fitch's analysis is based on certain
expense line-item assumptions, using both issuance levels, which
were normalized for collateral expense items only, as well as some
of the reported increases.
Fully Amortizing Loan and Fitch Leverage: The whole loan is
structured with a 20-year amortization schedule providing full
amortization over the term of the loan. The trust notes are
scheduled to be interest-only for the first 10 years and the
non-trust $100 million component will fully amortize to zero in the
first 10 years. The whole loan has a Fitch-stressed debt service
coverage ratio (DSCR) and loan-to-value (LTV) of 1.31x and 71.9%,
respectively, compared to 1.24x and 77.2% at issuance, inclusive of
an amortization factor of 75%. The loan is scheduled to mature in
September 2035.
Collateral: The certificates represent the beneficial interest in a
20 year, fixed-rate, mortgage loan secured by 105
cross-collateralized self-storage properties located across 35
states owned by AMERCO (NASDAQ: UHAL). All of the properties are
owned fee simple. The average year built of the portfolio is 1967.
The majority of the properties offer the following amenities: an
electronic gate, outdoor drive-up storage, climate-controlled
storage, trucks available for move-ins, RV parking, moving supplies
for sale, towing equipment, and propane refill stations.
Granular Portfolio: The loan is secured by 105 cross-collateralized
self-storage properties located across 35 states. No single
property represents more than 5.8% of NOI.
Experienced Sponsorship and Management: The loan is sponsored by
AMERCO, the parent company of U-Haul, which is the nation's leading
do-it-yourself moving company with a network of over 17,400
locations across North America. Founded by L.S. Shoen in 1945 as
U-Haul Trailer Rental Company, the industry giant has one of the
largest rental fleets in the world, with over 135,000 trucks,
107,000 trailers, and 38,000 towing devices. The portfolio is
managed by U-Haul through management agreements with U-Haul
subsidiaries in each of the states where the portfolio properties
are located. U-Haul owns and operates approximately 1,280
self-storage locations in the U.S. totaling roughly 491,000 units
and 44.2 million sf of space.
RATING SENSITIVITIES
Rating Outlooks for all classes remains Stable given the overall
stable portfolio performance. Future upgrades may be possible with
several years of sustained improved performance and further clarity
on portfolio operating expenses. Should the loan's performance
metrics decline significantly, downgrades are possible.
MUSKOKA 2018-1: DBRS Hikes Rating on Class D Notes to BB(high)
--------------------------------------------------------------
DBRS, Inc. confirmed its provisional rating on the Tranche A Amount
at AAA (sf) as well as upgraded its provisional ratings on the
Tranche B Amount to AA (sf) from A (sf) and the Tranche C Amount to
A (low) (sf) from BBB (low) (sf) (collectively, the Tranche
Amounts) of two unexecuted, unfunded financial guarantees (the
Financial Guarantees) with respect to a portfolio of primarily U.S.
and Canadian senior secured or senior unsecured loans originated or
managed by Bank of Montreal (BMO; rated AA with a Stable trend by
DBRS) and issued by Manitoulin USD Limited (Manitoulin).
Debt Rated Action Rating
---------- ------ ------
Tranche A Amount Prov.-Confirmed AAA(sf)
Muskoka Series 2018-1
Class B Guarantee Linked Notes Upgraded AA(sf)
Tranche B Amount Prov.-Upgraded AA(sf)
Muskoka Series 2018-1
Class C Guarantee Linked Notes Upgraded
A(low)(sf)
Tranche C Amount Prov.-Upgraded
A(low)(sf)
Muskoka Series 2018-1
Class D Guarantee Linked Notes Upgraded
BB(high)(sf)
The provisional ratings on the Tranche Amounts address the
likelihood of a reduction to the respective Tranche Amounts caused
by a Tranche Loss Balance on each respective tranche resulting from
defaults and losses within the guaranteed portfolio during the
period from the Effective Date until the Scheduled Termination Date
(as defined in the Financial Guarantees).
The ratings assigned by DBRS are expected to remain provisional
until the underlying agreements are executed. BMO may have no
intention of executing the Financial Guarantees. DBRS will maintain
and monitor the provisional ratings throughout the life of the
transaction or while it continues to receive performance
information.
DBRS also upgraded its ratings on the Muskoka Series 2018-1 Class B
Guarantee Linked Notes (the Class B Notes) to AA (sf) from A (sf);
the Muskoka Series 2018-1 Class C Guarantee Linked Notes (the Class
C Notes) to A (low) (sf) from BBB (low) (sf); and the Muskoka
Series 2018-1 Class D Guarantee Linked Notes (the Class D Notes;
together with the Class B Notes and Class C Notes, the Notes) to BB
(high) (sf) from BB (sf). The Notes were issued by Manitoulin
referencing the executed Junior Loan Portfolio Financial Guarantee
(the Junior Financial Guarantee) dated as of September 27, 2018,
between Manitoulin as Guarantor and BMO as Beneficiary with respect
to a portfolio of primarily U.S. and Canadian senior secured and
senior unsecured loans.
The ratings on the Notes address the timely payment of interest and
ultimate payment of principal on or before the Scheduled
Termination Date (as defined in the Junior Financial Guarantee).
The payment of the interest due to the Notes is subject to the
Beneficiary's ability to pay the Guarantee Fee Amount (as defined
in the Junior Financial Guarantee).
To assess portfolio credit quality, for each corporate obligor in
the portfolio DBRS relies on DBRS ratings and public ratings from
other rating agencies or DBRS may provide a credit estimate,
internal assessment or ratings mapping of the Beneficiary's
internal ratings model. Credit estimates, internal assessments and
ratings mappings are not ratings; rather, they represent an
abbreviated analysis, including model-driven or statistical
components of default probability for each obligor used in
assigning a rating to the facility that is sufficient to assess
portfolio credit quality.
The ratings reflect the following:
(1) The draft Financial Guarantees and Junior Financial
Guarantees.
(2) The integrity of the transaction structure.
(3) DBRS's assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates.
Notes: All figures are in U.S. dollars unless otherwise noted.
NEW RESIDENTIAL 2019-5: Moody's Rates Class B-8 Notes (P)B2(sf)
---------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 36
classes of notes issued by New Residential Mortgage Loan Trust
2019-5. The NRMLT 2019-5 transaction is a $743 million
securitization of 6,300 first lien, seasoned performing and
re-performing fixed-rate mortgage loans with weighted average
seasoning of 175 months, a weighted average updated LTV ratio of
57.5% and a non-zero weighted average updated FICO score of 675.
Based on the OTS methodology, 75.0% of the loans by scheduled
balance have been continuously current for the past 24 months.
Approximately 62.8% of the loans in the pool (by scheduled balance)
have been previously modified. PHH Mortgage Corporation, MR. COOPER
GROUP INC, Shellpoint Mortgage Servicing, Select Portfolio
Servicing, Inc, PNC Mortgage, a Division of PNC BANK, N.A. and Fay
Servicing LLC are the six servicers who will service approximately
45.8%, 43.5%, 5.0%, 4.4%, 0.8% and 0.5% of the loans (by scheduled
balance), respectively. Nationstar Mortgage LLC will act as master
servicer and successor servicer and Shellpoint will act as the
special servicer.
The complete rating action is as follows:
Issuer: New Residential Mortgage Loan Trust 2019-5
Cl. A, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1A, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1B, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1C, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-1D, Provisional Rating Assigned (P)Aaa (sf)
Cl. A-2, Provisional Rating Assigned (P)Aa1 (sf)
Cl. B-1, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-1A, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-1B, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-1C, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-1D, Provisional Rating Assigned (P)Aa2 (sf)
Cl. B-2, Provisional Rating Assigned (P)A3 (sf)
Cl. B-2A, Provisional Rating Assigned (P)A3 (sf)
Cl. B-2B, Provisional Rating Assigned (P)A3 (sf)
Cl. B-2C, Provisional Rating Assigned (P)A3 (sf)
Cl. B-2D, Provisional Rating Assigned (P)A3 (sf)
Cl. B-3, Provisional Rating Assigned (P)Baa3 (sf)
Cl. B-3A, Provisional Rating Assigned (P)Baa3 (sf)
Cl. B-3B, Provisional Rating Assigned (P)Baa3 (sf)
Cl. B-3C, Provisional Rating Assigned (P)Baa3 (sf)
Cl. B-3D, Provisional Rating Assigned (P)Baa3 (sf)
Cl. B-4, Provisional Rating Assigned (P)Ba1 (sf)
Cl. B-4A, Provisional Rating Assigned (P)Ba1 (sf)
Cl. B-4B, Provisional Rating Assigned (P)Ba1 (sf)
Cl. B-4C, Provisional Rating Assigned (P)Ba1 (sf)
Cl. B-5, Provisional Rating Assigned (P)Ba3 (sf)
Cl. B-5A, Provisional Rating Assigned (P)Ba3 (sf)
Cl. B-5B, Provisional Rating Assigned (P)Ba3 (sf)
Cl. B-5C, Provisional Rating Assigned (P)Ba3 (sf)
Cl. B-5D, Provisional Rating Assigned (P)Ba3 (sf)
Cl. B-6, Provisional Rating Assigned (P)B3 (sf)
Cl. B-6A, Provisional Rating Assigned (P)B3 (sf)
Cl. B-6B, Provisional Rating Assigned (P)B3 (sf)
Cl. B-6C, Provisional Rating Assigned (P)B3 (sf)
Cl. B-8, Provisional Rating Assigned (P)B2 (sf)
RATINGS RATIONALE
Its losses on the collateral pool equal 9.00% in an expected
scenario and reach 33.75% at a stress level consistent with the Aaa
ratings on the senior classes. Moody's based its expected losses
for the pool on its estimates of (1) the default rate on the
remaining balance of the loans and (2) the principal recovery rate
on the defaulted balances. The final expected losses for the pool
reflect the third-party review findings and its assessment of the
representations and warranties framework for this transaction.
Also, the transaction contains a mortgage loan sale provision, the
exercise of which is subject to potential conflicts of interest. As
a result of this provision, Moody's increased its expected losses
for the pool.
To estimate the losses on the pool, Moody's used an approach
similar to its surveillance approach. Under this approach, Moody's
applies expected annual delinquency rates, conditional prepayment
rates, loss severity rates and other variables to estimate future
losses on the pool. Its assumptions on these variables are based on
the observed performance of seasoned modified and non-modified
loans, the collateral attributes of the pool including the
percentage of loans that were delinquent in the past 36 months. For
this pool, Moody's used default burnout assumptions similar to
those detailed in its "US RMBS Surveillance Methodology" for Alt-A
loans originated pre-2005. Moody's then aggregated the
delinquencies and converted them to losses by applying
pool-specific lifetime default frequency and loss severity
assumptions.
Collateral Description
NRMLT 2019-5 is a securitization of 6,300 seasoned performing and
re-performing fixed-rate residential mortgage loans which the
seller, NRZ Sponsor VII LLC, has purchased in connection with the
termination of various securitization trusts. Similar to prior
NRMLT transactions Moody's has rated, nearly all of the collateral
was sourced from terminated securitizations. Approximately 62.8% of
the loans had previously been modified.
The updated value of properties in this pool were provided by a
third-party firm using a home data index and/or an updated broker
price opinion. BPOs were provided for a sample of 1,569 out of the
6,300 properties contained within the securitization. HDI values
were provided for all but one property contained within the
securitization. The weighted average updated LTV ratio on the
collateral is 57.5%, implying an average of 42.5% borrower equity
in the properties.
Third-Party Review and Representations & Warranties
Two third-party due diligence providers, AMC and Recovco, conducted
a regulatory compliance review on a sample of 1,484 and 1,123
seasoned mortgage loans respectively for the initial due diligence
pool. The regulatory compliance review consisted of a review of
compliance with the federal Truth in Lending Act as implemented by
Regulation Z, the federal Real Estate Settlement Procedures Act as
implemented by Regulation X, the disclosure requirements and
prohibitions of Section 50(a)(6), Article XVI of the Texas
Constitution, federal, state and local anti-predatory regulations,
federal and state specific late charge and prepayment penalty
regulations, and document review.
AMC found that 263 out of 1,484 loans had compliance exceptions
with rating agency grade C or D. Recovco reviewed 1,123 loans and
found that 272 loans have a rating of C or D.
Based on its analysis of the TPR reports, Moody's determined that a
portion of the loans with some cited violations are at enhanced
risk of having violated TILA through an under-disclosure of the
finance charges or other disclosure deficiencies. Although the TPR
report indicated that the statute of limitations for borrowers to
rescind their loans has already passed, borrowers can still raise
these legal claims in defense against foreclosure as a set off or
recoupment and win damages that can reduce the amount of the
foreclosure proceeds. Such damages include up to $4,000 in
statutory damages, borrowers' legal fees and other actual damages.
Moody's increased its losses for these loans to account for such
damages.
AMC and Recovco reviewed the findings of various title search
reports covering 477 and 959 mortgage loans respectively in the
preliminary sample population in order to confirm the first lien
position of the related mortgages. Overall, AMC's review confirmed
that 469 mortgages were in first lien position. For the eight
remaining loans reviewed by AMC, for four loans proof of first lien
position could only be confirmed using the final title policy as of
loan origination, three loans had pending searches and one loan had
lien issues. Recovco reported that 354 of the mortgage loans it
reviewed were in first-lien position. Loans with lien issues and
pending searches were dropped from the pool. Recovco reported that
the 871 out of 959 mortgage loans it reviewed were in first-lien
position. For 61 mortgage loans, the final title policy was used to
verify the first lien and for 25 other mortgage loans the results
were pending. All loans with pending searches were dropped from the
pool.
The seller, NRZ Sponsor VII LLC, is providing a representation and
warranty for missing mortgage files. To the extent that the master
servicer, related servicer or depositor has actual knowledge, or a
responsible officer of the Indenture Trustee has received written
notice, of a defective or missing mortgage loan document or a
breach of a representation or warranty regarding the completeness
of the mortgage file or the accuracy of the mortgage loan
documents, and such missing document, defect or breach is
preventing or materially delaying the (a) realization against the
related mortgaged property through foreclosure or similar loss
mitigation activity or (b) processing of any title claim under the
related title insurance policy, the party with such actual
knowledge will give written notice of such breach, defect or
missing document, as applicable, to the seller, indenture trustee,
depositor, master servicer and related servicer. Upon notification
of a missing or defective mortgage loan file, the seller will have
120 days from the date it receives such notification to deliver the
missing document or otherwise cure the defect or breach. If it is
unable to do so, the seller will be obligated to replace or
repurchase the mortgage loan.
Trustee, Custodians, Paying Agent, Servicers, Master Servicer,
Successor Servicer and Special Servicer
The transaction indenture trustee is Wilmington Trust, National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A and U.S. Bank National Association. The paying
agent and cash management functions will be performed by Citibank,
N.A. In addition, Nationstar, as master servicer, is responsible
for servicer oversight, termination of servicers, and the
appointment of successor servicers. Having Nationstar as a master
servicer mitigates servicing-related risk due to the performance
oversight that it will provide. Shellpoint will serve as the
special servicer and, as such, will be responsible for servicing
mortgage loans that become 60 or more days delinquent. Nationstar
will serve as the designated successor servicer.
PHH Mortgage Corporation, Mr Cooper, Shellpoint Mortgage Servicing,
Select Portfolio Servicing, Inc, PNC Mortgage and Fay Servicing are
the six servicers who will service approximately 45.8%, 43.5%,
5.0%, 4.4%, 0.8% and 0.5% of the loans (by scheduled balance),
respectively. Moody's considers the overall servicing arrangement
to be adequate.
Transaction Structure
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to increasingly receive principal
prepayments after an initial lock-out period of five years,
provided two performance tests are met. To pass the first test, the
delinquent and recently modified loan balance cannot exceed 50% of
the subordinate bonds outstanding. To pass the second test,
cumulative losses cannot exceed certain thresholds that gradually
increase over time.
Because a shifting interest structure allows subordinated bonds to
pay down over time as the loan pool shrinks, senior bonds are
exposed to tail risk, i.e., risk of back-ended losses when fewer
loans remain in the pool. The transaction provides for a senior and
subordination floor that helps to reduce this tail risk.
Specifically, the subordination floor prevents subordinate bonds
from receiving any principal if the amount of subordinate bonds
outstanding falls below 7.50% of the cut-off date principal
balance. There is also a provision that prevents subordinate bonds
from receiving principal if the credit enhancement for the Class
A-1 note falls below its percentage at closing, 35.60%. In
addition, there are provisions that "lock out" certain subordinate
bonds and allocate principal to more senior subordinate bonds if,
for a given class, credit enhancement levels decline below their
initial percentages or below 6.00% of the cut-off date principal
balance. These provisions have been incorporated into its cash flow
model and are reflected in its ratings
Other Considerations
The transaction contains a mortgage loan sale provision, the
exercise of which is subject to potential conflicts of interest.
The servicers in the transaction may sell mortgage loans that
become 60 or more days delinquent according to the MBA methodology
to any party in the secondary market in an arms-length transaction
and at a fair market value. For such sale to take place, the
related servicer must determine, in its reasonable commercial
judgment, that such sale would maximize proceeds on a present value
basis. If the sponsor or any of its subsidiaries is the purchaser,
the related servicer must obtain at least two additional
independent bids. The transaction documents provide little detail
on the method of receipt of bids and there is no set minimum sale
price. Such lack of detail creates a risk that the independent bids
could be weak bids from purchasers that do not actively participate
in the market. Furthermore, the transaction documents provide
little detail regarding how servicers should conduct present value
calculations when determining if a note sale should be pursued. The
special servicer, Shellpoint, is an affiliate of the sponsor. The
servicers in the transaction may have a commercial relationship
with the sponsor outside of the transaction. These business
arrangements could lead to conflicts of interest. Moody's took this
into account and adjusted its losses accordingly.
When analyzing the transaction, Moody's reviewed the transaction's
exposure to large potential indemnification payments owed to
transaction parties due to potential lawsuits. In particular,
Moody's assessed the risk that the indenture trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the seller. Moody's believes that NRMLT
2019-5 is adequately protected against such risk primarily because
the loans in this transaction are highly seasoned with a weighted
average seasoning of approximately 175 months. Although some loans
in the pool were previously delinquent and modified, the loans all
have a substantial history of payment performance. This includes
payment performance during the last recession. As such, if loans in
the pool were materially defective, such issues would likely have
been discovered prior to the securitization. Furthermore, third
party due diligence was conducted on a significant random sample of
the loans for issues such as data integrity, compliance, and title.
As such, Moody's did not apply adjustments in this transaction to
account for indemnification payment risk.
In addition, prior to closing, the collateral pool has
approximately $2,293,267 of unreimbursed servicing advances such as
taxes and insurance. The mortgage borrower is responsible for
reimbursing the related servicer for the pre-existing servicing
advances. The related servicer may choose to set the pre-existing
advances as escrow to be repaid by the borrower as part of monthly
mortgage payments. However, in the event the borrower defaults on
the mortgage prior to fully repaying the pre-existing servicing
advances, the related servicer will recoup the outstanding amount
of pre-existing advances from the loan liquidation proceeds. The
amount of pre-existing servicing advances only represents
approximately 20 basis points of total pool balance. As borrowers
make monthly mortgage payments, this amount would likely decrease.
Moreover, its loan loss severity assumption incorporates
reimbursement of servicing advances from liquidation proceeds.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from its original expectations
as a result of a lower number of obligor defaults or appreciation
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above its original expectations as
a result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitizations Backed by Non-Performing and Re-Performing
Loans" published in February 2019 and "US RMBS Surveillance
Methodology" published in February 2019.
NEW RESIDENTIAL 2019-NQM4: DBRS Finalizes B Rating on Cl. B-2 Notes
-------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed
Notes, Series 2019-NQM4 (the Notes) issued by New Residential
Mortgage Loan Trust 2019-NQM4 (the Issuer) as follows:
-- $276.5 million Class A-1 at AAA (sf)
-- $26.1 million Class A-2 at AA (sf)
-- $36.0 million Class A-3 at A (sf)
-- $14.5 million Class M-1 at BBB (sf)
-- $13.3 million Class B-1 at BB (sf)
-- $7.0 million Class B-2 at B (sf)
The AAA (sf) rating on the Notes reflects the 27.35% of credit
enhancement provided by subordinated Notes in the pool. The AA
(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 20.50%,
11.05%, 7.25%, 3.75% and 1.90% of credit enhancement,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate, prime, expanded prime and non-prime first-lien
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 734 loans with a total principal balance of
$380,598,970 as of the Cut-Off Date (September 1, 2019).
All the loans were originated by NewRez LLC (NewRez) or by a
correspondent and underwritten by NewRez. Shellpoint Mortgage
Servicing is the Servicer. The mortgages were originated under the
following programs:
(1) SmartSelf and SmartSelf Plus (51.2%) — Generally made to
self-employed borrowers using bank statements to support
self-employed income for qualification purposes.
(2) SmartEdge and SmartEdge Plus (36.8%) — Generally made to
borrowers seeking flexible financing options (interest-only (IO)
loans or higher debt-to-income ratios (DTIs)) who may have a hard
recent credit event (two or more years seasoned) that may preclude
prequalification for another program.
(3) SmartVest (8.7%) — Generally made to borrowers who are
experienced real estate investors looking to purchase or refinance
an investment property that is held for business purposes.
(4) Smart Funds (1.3%) — Generally made to prime borrowers with
significant assets who can purchase the property with their assets
but choose to use a financing instrument for cash flow purposes.
(5) Portfolio Express ReFi (0.7%) — Generally made to existing
borrowers seeking flexible-rate and term refinancing options who do
not meet agency guidelines.
(6) Portfolio Debt Consolidation (0.5%) — Generally made to
existing borrowers seeking flexible refinance options to help
consolidate debt who do not meet agency guidelines.
(7) SmartCondo (0.5%) — Generally made to prime borrowers seeking
flexible financing options for condominium properties who do not
meet agency guidelines.
(8) SmartTrac (0.2%) — Generally made to borrowers seeking
flexible financing options (IO loans or higher DTIs) that may have
had a recent credit event (one to two or more years seasoned) that
may preclude prequalification for another program.
(9) High-Balance Extra (0.1%) — Generally made to prime borrowers
with loan amounts exceeding the government-sponsored-enterprise
loan limits that may fall outside the Qualified Mortgage (QM)
requirements based on documentation and DTI.
New Residential Investment Corp. is the Sponsor of the transaction.
Nationstar Mortgage LLC will act as the Master Servicer. Citibank,
N.A. (rated AA (low) with a Stable trend by DBRS) will act as the
Paying Agent, Note Registrar and Owner Trustee. U.S. Bank National
Association (rated AA (high) with a Stable trend by DBRS) will
serve as Indenture Trustee. Citicorp Trust Delaware, National
Association will serve as the Delaware Trustee. Wells Fargo Bank,
N.A. (rated AA with a Stable trend by DBRS) will serve as
Custodian.
Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay
(ATR) rules, they were made to borrowers who generally do not
qualify for agency, government or private-label non-agency prime
jumbo products for various reasons. In accordance with the CFPB
QM/ATR rules, 75.5% of the loans are designated as non-QM.
Approximately 24.5% of the loans are made to investors for business
purposes and, hence, are not subject to the QM/ATR rules.
The Servicer will fund advances of delinquent principal and
interest on any mortgage until such loan becomes 180 days
delinquent. The Servicer is also obligated to make advances in
respect of taxes, insurance premiums and reasonable costs incurred
in the course of servicing and disposing of properties.
Through a majority-owned affiliate, the Sponsor intends to retain
at least 5% of each class of Notes issued by the Issuer (other than
the Class R Notes) to satisfy the credit risk retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.
The Seller will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 60 or more days
delinquent under the Mortgage Bankers Association method or any
real estate–owned property acquired in respect of a mortgage loan
at a price equal to the stated principal balance of such loan,
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date (Optional
Repurchase Price).
On or after the earlier of (1) the Payment Date occurring in
September 2022 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Depositor has the option to purchase all of the
outstanding mortgage loans, thereby retiring the Notes, at a price
equal to the outstanding aggregate stated principal balance of the
mortgage loans plus accrued and unpaid interest.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Notes as the outstanding senior Notes are paid in full.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B
(sf) address the ultimate payment of interest and full payment of
principal by the legal final maturity date in accordance with the
terms and conditions of the related Notes.
The ratings reflect transactional strengths that include the
following:
-- Robust loan attributes and pool composition,
-- ATR rules and Appendix Q compliance,
-- Satisfactory third-party due diligence review and
-- Improved underwriting standards.
The transaction also includes the following challenges:
-- Representations and warranties framework,
-- Non-prime, non-QM and investor loans,
-- Limited Servicer advances of delinquent principal
and interest, and
-- Servicer's financial capability.
Notes: All figures are in U.S. dollars unless otherwise noted.
NRZ ADVANCE 2019-T4: S&P Assigns Prelim 'BB' Rating to E-T4 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to NRZ Advance
Receivables Trust 2015-ON1's advance receivables-backed notes
2019-T4.
The note issuance is a servicer advance transaction backed by
servicer advance reimbursements and accrued and unpaid servicing
fees.
The preliminary ratings are based on information as of Sept. 30,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The strong likelihood of reimbursement of servicer advance
receivables given the priority of such reimbursement payments;
-- The transaction's revolving period, during which collections or
draws on the outstanding variable-funding note may be used to fund
additional advance receivables, and the specified eligibility
requirements, collateral value exclusions, credit enhancement test
(the collateral test), and amortization triggers intended to
maintain pool quality and credit enhancement during this period;
-- The transaction's use of predetermined, rating
category-specific advance rates for each receivable type in the
pool that discount the receivables, which are non-interest bearing,
to satisfy the interest obligations on the notes, as well as
provide for dynamic overcollateralization;
-- The projected timing of reimbursements of the servicer advance
receivables, which, in the 'AAA', 'AA', and 'A' scenarios, reflects
S&P's assumption that the servicer would be replaced, while in the
'BBB' and 'BB' scenarios, reflects the servicer's historical
reimbursement experience;
-- The credit enhancement in the form of overcollateralization,
subordination, and the series reserve accounts;
-- The timely interest and full principal payments made under
S&P's stressed cash flow modeling scenarios consistent with the
assigned preliminary ratings; and
-- The transaction's sequential turbo payment structure that
applies during any full amortization period.
PRELIMINARY RATINGS ASSIGNED
NRZ Advance Receivables Trust 2015-ON1 (Series 2019-T4)
Class Rating Amount (mil. $)
A-T4 AAA (sf) 330.780
B-T4 AA (sf) 12.703
C-T4 A (sf) 14.595
D-T4 BBB (sf) 36.252
E-T4 BB (sf) 5.670
PAWNEE EQUIPMENT 2019-1: DBRS Gives Prov. BB Rating on Cl. E Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
asset-backed notes to be issued by Pawnee Equipment Receivables
(Series 2019-1) LLC (the Issuer):
-- $67,000,000 Series 2019-1, Class A-1 Notes at R-1 (high) (sf)
-- $144,430,000 Series 2019-1, Class A-2 Notes at AAA (sf)
-- $11,510,000 Series 2019-1, Class B Notes at AA (sf)
-- $10,150,000 Series 2019-1, Class C Notes at A (sf)
-- $12,180,000 Series 2019-1, Class D Notes at BBB (sf)
-- $8,934,000 Series 2019-1, Class E Notes at BB (sf)
The provisional ratings are based on a review by DBRS of the
following analytical considerations:
-- Transaction capital structure, proposed ratings and sufficiency
of available credit enhancement, which includes
overcollateralization, subordination and amounts held in the
reserve account to support the DBRS-projected cumulative net loss
(CNL) assumption under various stressed cash flow scenarios.
-- The proposed concentration limits mitigating the risk of
material migration in the collateral pool's composition during the
three-month prefunding period.
-- The capabilities of Pawnee Leasing Corporation (Pawnee) with
regard to originations, underwriting and servicing. DBRS has
performed an operational review of Pawnee and considers the entity
to be an acceptable originator and servicer of equipment-backed
lease and loan contracts. In addition, Portfolio Financial
Servicing Company, an experienced servicer of equipment
lease-backed securitizations, will be the Backup Servicer for the
transaction.
-- The expected Asset Pool does not contain any significant
concentrations of obligors, brokers or geographies and consists of
a diversified mix of the equipment types similar to those included
in other small-ticket lease and loan securitizations rated by
DBRS.
-- The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
non-consolidation of the special-purpose vehicle with Pawnee and
that the Indenture Trustee has a valid first-priority security
interest in the assets. The transaction terms are also reviewed for
consistency with the DBRS "Legal Criteria for U.S. Structured
Finance."
-- The Company focuses on small-ticket financing ($250,000 cap for
prime credits and lower for near-prime and non-prime credits). No
non-prime credits will be included in the collateral for the Notes;
however, up to 17.95% of the collateral may comprise “B+”
credits (weighted-average non-zero guarantor Beacon Score of 708 as
of the Statistical Calculation Date compared with a score of 752
for A credits as of the same date). ACH is required on
approximately 100% of B+ credit contracts (compared with about 68%
for A credit contracts). In addition, as of the Statistical
Calculation Date, close to 100% of B+ collateral in the Statistical
Asset Pool was supported by personal guarantees (compared with
approximately 89% for A credits).
-- Under various stressed cash flow scenarios, credit enhancement
can withstand the expected loss using DBRS multiples of 5.55 times
(x) with respect to the Class A Notes and 4.55x, 3.65x, 2.60x and
1.90x with respect to the Class B Notes, the Class C Notes, the
Class D Notes and the Class E Notes, respectively. DBRS assumes a
4.00% expected base case CNL for the transaction.
Notes: All figures are in U.S. dollars unless otherwise noted.
PURCHASING POWER 2018-A: DBRS Confirms BB Rating on Class C Debt
----------------------------------------------------------------
DBRS, Inc. confirmed the four outstanding ratings from Purchasing
Power Funding 2018-A, LLC. The confirmations are the result of
performance trends and credit enhancement levels being sufficient
to cover DBRS's expected losses at their current respective rating
levels.
The Affected Ratings are:
Purchasing Power Funding 2018-A LLC
Debt Action Rating
Class A Confirmed AA
Class B Confirmed A(high)
Class C Confirmed BB
Class D Confirmed BB(low)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- The credit quality of the collateral pool and historical
performance.
RAMP TRUST 2005-EFC4: Moody's Hikes Class M-5 Debt to Ba1
---------------------------------------------------------
Moody's Investors Service upgraded the ratings of 4 tranches from 2
transactions backed by Subprime RMBS, issued by Residential Funding
Corporation.
Complete rating actions are as follows:
Issuer: RAMP Series 2003-RS10 Trust
Cl. M-II-1, Upgraded to A3 (sf); previously on Apr 13, 2017
Upgraded to Baa3 (sf)
Cl. M-II-2, Upgraded to Caa1 (sf); previously on Apr 13, 2017
Upgraded to Ca (sf)
Issuer: RAMP Series 2005-EFC4 Trust
Cl. M-4, Upgraded to Aa2 (sf); previously on Feb 27, 2018 Upgraded
to A1 (sf)
Cl. M-5, Upgraded to Ba1 (sf); previously on Feb 27, 2018 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The upgrades of RAMP Series 2003-RS10 Cl. M-II-1 and Cl. M-II-2
primarily reflect a correction to the cash-flow model used by
Moody's in rating this transaction. In prior rating actions, the
cash-flow model incorrectly calculated the principal distribution
amount for the subordinated bonds. This error has now been
corrected, and the rating action reflects this change.
The upgrades of RAMP Series 2005-EFC4 Cl. M-4 and Cl. M-5 Trust are
primarily due to improvement in pool performance and credit
enhancement available to the bonds. The rating action on Cl M-5
also reflects a correction to the cash-flow model used by Moody's
in rating this transaction. In prior rating actions, the cash-flow
model incorrectly calculated the target overcollateralization
amount, thereby reducing future funds available to reverse
forecasted write-downs. This error has now been corrected, and the
rating action reflects this change.
The rating actions also reflect recent performance and Moody's
updated loss expectations on the underlying pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in February 2019.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.7% in August 2019 from 3.8% in
August 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2019. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any changes resulting from servicing
transfers, or other policy or regulatory shifts can impact the
performances of these transactions.
RCKT MORTGAGE 2019-1: Moody's Gives (P)B1 Rating on Class B-5 Debt
------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 23
classes of residential mortgage-backed securities issued by RCKT
Mortgage Trust 2019-1. The ratings range from (P)Aaa (sf) to (P)B1
(sf).
RCKT Mortgage Trust 2019-1 is a securitization of prime jumbo and
agency-eligible mortgage loans originated and serviced by Quicken
Loans Inc. (rated long-term senior unsecured Ba1). The assets of
the trust consist of 465 first lien, fully amortizing, fixed-rate
qualified mortgage (QM) loans, each with an original term to
maturity of 30 years.
The transaction will be sponsored by Woodward Capital Management
LLC and will be the first transaction for which Quicken Loans is
the sole originator and servicer. There is no master servicer in
this transaction. Citibank, N.A. (rated long-term senior unsecured
Aa3) will be the securities administrator and the trustee will be
Wilmington Savings Fund Society, FSB.
The transaction benefits from a collateral pool that is of high
credit quality and is further supported by an unambiguous
representation and warranty (R&W) framework and a shifting interest
structure that incorporates a subordination floor.
Transaction credit strengths include the high credit quality of the
collateral pool, the strong third-party review (TPR) results, and
the prescriptive, unambiguous R&W framework. Transaction credit
weaknesses include having no master servicer to oversee the primary
servicer, unlike typical prime jumbo transactions, as well as
limited performance history for Quicken Loans' prime jumbo
originations.
The complete rating actions are as follows:
Issuer: RCKT Mortgage Trust 2019-1
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aa1 (sf)
Cl. A-14, Assigned (P)Aa1 (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)A1 (sf)
Cl. B-1A, Assigned (P)A1 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-2A, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba1 (sf)
Cl. B-5, Assigned (P)B1 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.45%
in a base scenario and is 5.35% at a stress level consistent with
the Aaa (sf) ratings.
Its loss estimates are based on a loan-by-loan assessment of the
securitized collateral pool as of the cut-off date using Moody's
Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included adjustments to borrower
probability of default for higher and lower borrower debt-to-income
ratios (DTIs), for borrowers with multiple mortgaged properties,
self-employed borrowers, origination channels and for the default
risk of Homeownership association (HOA) properties in super lien
states. The model combines loan-level characteristics with economic
drivers to determine the probability of default for each loan, and
hence for the portfolio as a whole. Severity is also calculated on
a loan-level basis. The pool loss level is then adjusted for
borrower, zip code, and MSA level concentrations.
Moody's bases its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence, and the
R&W framework of the transaction.
Collateral Description
The RCKT 2019-1 transaction is a securitization of 465 first lien
residential mortgage loans with an unpaid principal balance of
$351,329,735. The collateral pool includes 363 prime jumbo mortgage
loans comprising 82.6% of the aggregate pool balance underwritten
to Quicken Loans' prime jumbo guidelines. The remaining 102
mortgage loans comprising 17.4% of the collateral pool balance are
agency-eligible loans underwritten to either or both of the Fannie
Mae or Freddie Mac guidelines.
The loans in this transaction have strong borrower characteristics
with a weighted average original FICO score of 767 and a
weighted-average original loan-to-value ratio (LTV) of 71.5%. In
addition, approximately 23.1% of the borrowers are self-employed
and refinance loans comprise 49.7% of the aggregate pool. The pool
has a high geographic concentration with 43% of the aggregate pool
related to mortgages originated in California.
Origination Quality
Quicken Loans (rated long-term senior unsecured Ba1), founded in
1985 and headquartered in Detroit, Michigan, is the second-largest
overall US residential mortgage originator and the largest retail
originator.
Quicken Loans' origination of agency-eligible loans is designed to
be executed in accordance with underwriting guidelines established
by the Fannie Mae Single Family Selling Guide and the Freddie Mac
Single Family Seller/Servicer Guide.
Quicken Loans' prime jumbo guidelines are comparable with those of
other prime jumbo originators. The guidelines generally adhere to
the underwriting guidelines established by Fannie Mae and Qualified
Mortgage Appendix Q, except for loan amount, certain underwriting
ratios, and certain documentation requirements.
Moody's considers Quicken Loans an adequate originator of prime
jumbo and agency-eligible mortgage loans based on its staff and
processes for underwriting, quality control and risk management.
However, Moody's applied an adjustment to its expected losses for
the prime jumbo mortgage loans due to the limited performance
history for Quicken Loans' prime jumbo mortgage originations. While
the performance of such loans was strong and comparable to that of
other originators such as JPMorgan Chase and Wells Fargo, the
volume of Quicken Loans' originations is much lower. Moody's also
notes that the available performance data of such prime jumbo loans
covers a recent period in a relatively benign economic environment
and Moody's has less insight into how such loans may perform in a
stressed economic environment than Moody's does for other
originators.
Servicing Arrangement
Quicken Loans has been servicing residential mortgage loans since
2009 and retains the mortgage servicing rights on the majority of
its mortgage loan originations. Quicken Loans primarily services
mortgages for Fannie Mae, Freddie Mac and Ginnie Mae and is a
Fannie Mae 5-star servicer for General Servicing and Solutions
Delivery.
Quicken Loans has the necessary processes, staff, technology and
overall infrastructure in place to effectively service this
securitized pool. Quicken Loans is responsible for advancing
delinquent interest and principal for loans that are less than 120
days delinquent. In the event Quicken Loans is unable to make such
advances, Citibank as securities administrator is required to do
so.
Moody's assesses the overall servicing arrangement for this pool as
adequate, given the ability, scale and experience of Quicken Loans
as a servicer, while noting that the servicing arrangement is
weaker than other prime jumbo transactions which typically have a
master servicer.
While the lack of a master servicer is not unique to transactions
backed by seasoned performing and re-performing mortgage loans, it
is unique to post-crisis transactions backed by newly originated
prime mortgage loans. Furthermore, the servicers in such seasoned
performing and re-performing transactions are third-parties,
whereas the servicer, originator, and R&W provider are the same
party in RCKT 2019-1. RCKT 2019-1's unique servicing arrangement
presents risks such as (1) weaker servicer oversight and (2) weaker
alignment of interest compared to the typical prime jumbo
transactions, since the originator, servicer and R&W provider are
the same party.
Though a third-party review of Quicken Loans' servicing operations,
performance and regulatory compliance will be conducted at least
annually by an independent accounting firm, as well as by the
government-sponsored entities (GSEs), the Consumer Financial
Protection Bureau (CFPB) and state regulators, such oversight lacks
the depth and frequency that a master servicer would provide for
this transaction.
Given that Quicken Loans is the loan originator, R&W provider and
the servicer in this transaction, a potential conflict of interest
could arise if Quicken Loans were to modify delinquent loans prior
to 120 day delinquency in order to avoid triggering the R&W review.
However, this risk is mitigated by the inclusion of a breach review
trigger if a mortgage loan is modified before becoming 120 days
delinquent.
However, Moody's did not apply an adjustment to its expected losses
for the weaker servicing arrangement due to the following:
(1) Quicken Loans' relative financial strength, scale, franchise
value, experience and demonstrated ability as a servicer. Also,
Quicken Loans is a Fannie Mae 5-star servicer for General Servicing
and Solutions Delivery.
(2) Citibank is an experienced securities administrator and will be
responsible for making advances of delinquent interest and
principal if Quicken Loans is unable to do so and for reconciling
monthly remittances of cash by Quicken Loans.
(3) The R&W framework is strong and includes triggers for
delinquency and modification, which ensure that poorly performing
mortgage loans will be reviewed by a third-party and mitigates the
risk from misalignment of interest.
(4) The mortgage pool is of high credit quality and a third-party
review firm has conducted due diligence on 100% of the mortgage
loans in the pool with satisfactory results.
Third-Party Due Diligence Review
One independent third-party review firm, AMC Diligence LLC (AMC),
was engaged to conduct due diligence for the credit, regulatory
compliance, property valuation, and data accuracy for the 465 loans
in the initial population of this transaction.
The credit review consisted of a review of the documentation in
each loan file relating to the creditworthiness of the borrowers,
and an assessment of whether the characteristics of the mortgage
loans and the borrowers reasonably conformed to Quicken Loans'
underwriting guidelines. Where there were exceptions to guidelines,
the TPR firm noted compensating factors. Additionally, the TPR firm
evaluated evidence of the borrower's willingness and ability to
repay the obligation. AMC did not identify any material credit
issues.
AMC's regulatory compliance review consisted of a review of
compliance with the Truth in Lending Act and the Real Estate
Settlement Procedures Act among other federal, state and local
regulations. Additionally, the TPR firm applied SFIG's enhanced
RMBS 3.0 TRID Compliance Review Scope. AMC did not identify any
material compliance issues.
AMC's property valuation review consisted of reviewing the
valuation materials utilized at origination to ensure the appraisal
report was complete and in conformity with the underwriting
guidelines. The TPR firm also compared third-party valuation
products to the original appraisals. The appraisals for the
agency-eligible loans were checked using Fannie Mae's Collateral
Underwriter and those for the prime jumbo loans were checked using
desktop review and/or field reviews. Negative variances greater
than 10% were reported and in some cases additional appraisals were
performed which eventually showed immaterial or no variance.
AMC also sought to identify data discrepancies in comparing the
data tape to the information utilized during their reviews. Most of
the data integrity findings in the initial population were due to
refinance purpose discrepancies which were subsequently revised in
the collateral tape.
Representations & Warranties (R&W)
Moody's assessed RCKT 2019-1's R&W framework for this transaction
as adequate, consistent with that of other prime jumbo transactions
for which an independent reviewer is named at closing, the breach
review process is thorough, transparent and objective, and the
costs and manner of review are clearly outlined at issuance. An
effective R&W framework protects a transaction against the risk of
loss from fraudulent or defective loans.
Moody's assessed the R&W framework based on three factors: (a) the
financial strength of the R&W provider; (b) the strength of the
R&Ws (including qualifiers and sunsets) and (c) the effectiveness
of the enforcement mechanisms.Moody's applied an adjustment to its
expected losses to account for the risk that Quicken Loans may be
unable to repurchase defective loans in a stressed economic
environment, given that it is a non-bank entity with a monoline
business (mortgage origination and servicing) that is highly
correlated with the economy. However, Moody's tempered this
adjustment by taking into account Quicken Loans' relative financial
strength and the strong TPR results which suggest a lower
probability that poorly performing mortgage loans will be found
defective following review by the independent reviewer.
Transaction Structure
The securitization has a shifting interest structure that benefits
from a senior floor and a subordinate floor. Funds collected,
including principal, are first used to make interest payments and
then principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all unscheduled principal
collections to the senior bond for a specified period and
increasing amounts of unscheduled principal collections to the
subordinate bonds thereafter, but only if loan performance
satisfies delinquency and loss tests.
Realized losses are allocated reverse sequentially among the
subordinate and senior support certificates and on a pro-rata basis
among the super senior certificates.
Structural Considerations
Similar to recently rated Sequoia transactions, RCKT 2019-1
contains a structural deal mechanism that will control stop
advances on delinquent loans. The stated rationale for the proposed
mechanism is to remove ambiguity and servicer discretion in
advancing. Although this feature lowers the risk of high advances
that may negatively affect the recoveries on liquidated loans, the
reduction in interest distribution amount is credit negative to the
subordinate bonds but credit positive for the senior bonds.
The servicer and the securities administrator will not advance
principal and interest to loans that are 120 days or more
delinquent. The balance and the interest accrued on such stop
advance mortgage loans (SAML) will be removed from the calculation
of the principal and interest distribution amounts with respect to
the seniors and subordinate bonds. The interest distribution amount
will be reduced by the interest accrued on the SAML loans. This
reduction will be allocated first to the class of certificates with
the lowest payment priority and then to the class of certificates
with the next lowest payment priority, and so on. Net interest
shortfalls will be allocated among all classes of the senior
certificates pro rata. Once a SAML is liquidated, the net recovery
from that loan's liquidation is allocated first to pay down the
loan's outstanding principal amount and then to repay its accrued
interest. The recovered accrued interest on the loan is used to
repay the interest reduction incurred by the bonds that resulted
from that SAML. There may be scenarios where a senior bond may have
an outstanding interest shortfall, but a junior bond continues to
receive its principal distribution.
While the transaction is backed by collateral with strong credit
characteristics and, as such, Moody's expects strong performance
similar to other prime jumbo deals, Moody's considered scenarios in
which the delinquency pipeline rises, and interest distribution
amounts are reduced. The final ratings on the bonds reflect the
additional loss that the bonds may incur due to interest shortfall
on the bonds from SAML.
Exposure to Extraordinary Trust Expenses
Extraordinary trust expenses in the RCKT 2019-1 transaction are
deducted directly from the available distribution amount with a
reduction to the Net WAC Rate. Although some of the expenses are
capped ($575,000 per year, out of which amount the trustee may only
be reimbursed in an aggregate amount of $200,000), the unpaid
amount will carry forward and constitute trust expenses on all
future distribution dates until they are paid in full. Moody's
believes there is a very low likelihood that the rated certificates
in RCKT 2019-1 will incur any losses from extraordinary expenses or
indemnification payments from potential future lawsuits against key
deal parties. Firstly, the loans are qualified mortgages of prime
quality and were originated under a regulatory environment that
requires tighter controls for originations than pre-crisis, which
reduces the likelihood that the loans have defects that could form
the basis of a lawsuit. Secondly, the transaction has reasonably
well-defined processes in place to identify loans with defects on
an ongoing basis. In this transaction, an independent breach
reviewer (Pentalpha Surveillance LLC) engaged at closing must
review loans for breaches of representations and warranties when
certain clearly defined triggers have been breached, which reduces
the likelihood that parties will be sued for inaction. Thirdly, the
issuer has disclosed the results of a credit, compliance and
valuation review of all the mortgage loans by an independent
third-party (AMC) and results are satisfactory. Finally, since the
extraordinary trust expenses are deducted from the available funds
with a reduction to net WAC, Moody's did not make any adjustment to
its expected losses.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
REALT 2017: Fitch Affirms Bsf Rating on Class G Certs
-----------------------------------------------------
Fitch Ratings affirmed nine classes of Real Estate Asset Liquidity
Trust (REALT) commercial mortgage pass-through certificates series
2017 and all Rating Outlooks remain Stable.
REAL-T 2017
Current Rating Prior Rating
Class A-1 LT AAAsf Affirmed previously at AAAsf
Class A-2 LT AAAsf Affirmed previously at AAAsf
Class B LT AAsf Affirmed previously at AAsf
Class C LT Asf Affirmed previously at Asf
Class D-1 LT BBBsf Affirmed previously at BBBsf
Class D-2 LT BBBsf Affirmed previously at BBBsf
Class E LT BBB-sf Affirmed previously at BBB-sf
Class F LT BBsf Affirmed previously at BBsf
Class G LT Bsf Affirmed previously at Bsf
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The overall pool
performance and loss expectations remain stable from issuance.
There are no delinquent or specially serviced loans and performance
remains in line with Fitch's expectations. There are currently four
loans totaling 2.6% of the pool on the servicer watch list,
including two loans collateralized by multifamily properties in
Alberta or Saskatchewan. An additional eight loans (16.0%) sharing
the same sponsor are collateralized by multifamily properties in
these oil-exposed markets have not provided financial reporting
since issuance. All of these loans have full recourse and Fitch
does not believe them to be at immediate risk of default.
Limited Change to Credit Enhancement: As of the September 2019
distribution date, the pool's aggregate balance has been reduced by
4.2% to $389.5 million, from $406.8 million at issuance. At
issuance, the pool was scheduled to amortize 17.8%. There are no
interest-only loans in the pool.
Canadian Loan Attributes and Historical Performance: The ratings
reflect strong historical Canadian commercial real estate loan
performance, including a low delinquency rate and low historical
losses of less than 0.1%, as well as positive loan attributes, such
as short amortization schedules, recourse to the borrower and
additional guarantors. Approximately 68.7% of the loans in the pool
reflect full or partial recourse.
Energy Market Concentration: There are 14 loans in the pool with
collateral properties located in the Saskatchewan or Alberta
provinces. While some of these properties are insulated from oil
and gas exposure, several loans in other transactions and the two
multifamily loans that reflect updated financial reporting,
including those in major markets, have exhibited performance
declines related to low oil and gas prices.
High Sponsor Concentration: At issuance, the top four sponsors
account for 56.6% of the loans in the pool. While all of these
loans with the exception of those to AMERCO/Blackwater (14.4%) are
full recourse, none of these loans are cross-collateralized or
cross-defaulted. The top four sponsors at issuance were Skyline
Group of Companies (15.8%), AMERCO/Blackwater (14.4%), Avenue
Living (13.8%) and Value Centers REIT (12.6%).
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
RESIDENTIAL 2019-3: S&P Assigns Prelim 'B' Rating to Cl. B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Residential
Mortgage Loan Trust 2019-3's mortgage-backed notes.
The note issuance is a residential mortgage-backed securities
transaction backed by first-lien fixed- and adjustable-rate
amortizing (some with interest-only periods) residential mortgage
loans secured by single-family residences, planned-unit
developments, two- to four-family residences, and condominiums to
both prime and nonprime borrowers. The pool has 633 loans, which
are primarily nonqualified mortgage loans.
The preliminary ratings are based on information as of Oct. 1,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty (R&W) framework;
and
-- The mortgage aggregator.
PRELIMINARY RATINGS ASSIGNED
Residential Mortgage Loan Trust 2019-3
Class Rating(i) Amount ($)
A-1 AAA (sf) 165,549,000
A-2 AA (sf) 16,502,000
A-3 A (sf) 30,386,000
M-1 BBB (sf) 17,157,000
B-1 BB (sf) 14,276,000
B-2 B (sf) 11,133,000
B-3 NR 6,942,031
XS NR Notional(ii)
A-IO-S NR Notional(ii)
R NR N/A
(i)The collateral and structural information in this report
reflects the term sheet dated Sept. 16, 2019. The preliminary
ratings address the ultimate payment of interest and principle.
(ii)Notional amount equals the loans' aggregate stated principal
balance.
NR--Not rated.
SANTANDER DRIVE 2018-2: Fitch Upgrades Class E Debt to BBsf
-----------------------------------------------------------
Fitch Ratings taken various rating actions on Santander Drive Auto
Receivables Trust 2018-1, 2018-2 and 2018-5.
Santander Drive Auto Receivables Trust 2018-2
Current Rating Prior Rating
Class A-3 80285FAD6; LT AAAsf Affirmed; previously at AAAsf
Class B 80285FAE4; LT AAAsf Affirmed; previously at AAAsf
Class C 80285FAF1; LT AAsf Upgrade; previously at Asf
Class D 80285FAG9; LT Asf Upgrade; previously at BBBsf
Class E 80285FAH7; LT BBsf Upgrade; previously at BB-sf
Santander Drive Auto Receivables Trust 2018-5
Class A2A 80286AAB0; LT AAAsf Affirmed; previously at AAAsf
Class A2B 80286AAC8; LT AAAsf Affirmed; previously at AAAsf
Class A3 80286AAD6; LT AAAsf Affirmed; previously at AAAsf
Class B1 80286AAE4; LT AAAsf Upgrade; previously at AAsf
Class C1 80286AAF1; LT Asf Affirmed; previously at Asf
Class D1 80286AAG9; LT BBBsf Affirmed; previously at BBBsf
Class E1 80286AAH7; LT BBsf Upgrade; previously at BB-sf
Santander Drive Auto Receivables Trust 2018-1
Class B 80285TAE4; LT AAAsf Affirmed; previously at AAAsf
Class C 80285TAF1; LT AAsf Upgrade; previously at Asf
Class D 80285TAG9; LT Asf Upgrade; previously at BBBsf
Class E 80285TAH7; LT BBsf Affirmed; previously at BBsf
KEY RATING DRIVERS
The rating actions are based on available credit enhancement and
cumulative net loss performance to date. The collateral pool
continues to perform within Fitch's expectations and hard CE is
building for the notes. The securities are able to withstand stress
scenarios consistent with the recommended ratings, and make full
payments to investors in accordance with the terms of the
documents. The Positive Outlooks on the applicable classes reflect
the possibility for an upgrade in the next one to two years.
Santander Drive Auto Receivables Trust 2018-1
As of the September 2019 distribution, 61+ day delinquencies were
4.54% of the remaining collateral balance, and CNL were at 5.77%,
tracking below Fitch's initial base case of 16.50%. Further, hard
CE has grown to 77.71% for class B, 49.93% for class C, 30.43% for
class D and 15.18% for class E.
Based on transaction specific performance to date, Fitch revised
the lifetime CNL proxy to 14.00%. Under Fitch's stressed cash flow
assumptions, loss coverage for the notes are able to support
multiples consistent with 3.00x, 2.50x, 2.00x and 1.25x for
'AAAsf', 'AAsf', 'Asf', and 'BBsf' ratings, respectively.
Santander Drive Auto Receivables Trust 2018-2
As of the September 2019 distribution, 61+ day delinquencies were
4.54% of the remaining collateral balance, and CNL were at 5.07%,
tracking below Fitch's initial base case of 16.60%. Further, hard
CE has grown to 98.59% for class A, 71.17% for class B, 46.20% for
class C, 28.67% for class D and 14.96% for class E.
Based on transaction specific performance to date, Fitch revised
the lifetime CNL proxy to 14.00%. Under Fitch's stressed cash flow
assumptions, loss coverage for the notes are able to support
multiples consistent with 3.00x, 2.50x, 2.00x, and 1.25x for
'AAAsf', AAsf', Asf', and 'BBsf' ratings, respectively.
Santander Drive Auto Receivables Trust 2018-5
As of the September 2019 distribution, 61+ day delinquencies were
3.89% of the remaining collateral balance, and CNL were at 2.94%,
tracking below Fitch's initial base case of 17.00%. Further, hard
CE has grown to 81.10% for class A, 64.96% for class B, 45.05% for
class C, 27.28% for class D and 13.73% for class E.
Based on transaction specific performance to date, Fitch revised
the lifetime CNL proxy to 16.00%. Under Fitch's stressed cash flow
assumptions, loss coverage for the notes are able to support
multiples consistent with 3.00x, 2.00x, 1.50x, and 1.25x for
'AAAsf', Asf', 'BBBsf', and 'BBsf' ratings, respectively.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxy and impact available loss coverage
and multiples levels for the transaction. Lower loss coverage could
impact ratings and Rating Outlooks, depending on the extent of the
decline in coverage.
To date, the transaction has exhibited consistent performance with
losses within Fitch's initial expectations, with rising loss
coverage and multiple levels consistent with the current ratings. A
material deterioration in performance would have to occur within
the asset pool to have potential negative impact on the outstanding
ratings.
SEQUOIA MORTGAGE 2019-3: Moody's Affirms Class B-4 Debt at Ba3
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings on tranches from
Sequoia Mortgage Trust 2019-3, a securitization backed by prime
quality residential mortgage loans.
The complete rating actions are as follows:
Issuer: Sequoia Mortgage Trust 2019-3
Cl. A-1, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-6, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-7, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-8, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-9, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-10, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-11, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-12, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-13, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-14, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-15, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-16, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-17, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-18, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-19, Affirmed Aa1 (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aa1 (sf)
Cl. A-20, Affirmed Aa1 (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aa1 (sf)
Cl. A-21, Affirmed Aa1 (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aa1 (sf)
Cl. A-22, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-23, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. A-24, Affirmed Aaa (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aaa (sf)
Cl. B-1, Affirmed Aa3 (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Aa3 (sf)
Cl. B-2, Affirmed A3 (sf); previously on Aug 20, 2019 Definitive
Rating Assigned A3 (sf)
Cl. B-3, Affirmed Baa3 (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Baa3 (sf)
Cl. B-4, Affirmed Ba3 (sf); previously on Aug 20, 2019 Definitive
Rating Assigned Ba3 (sf)
RATINGS RATIONALE
This rating action reflects the correction of an error. In the
August 20, 2019 rating action on SEMT 2019-3, the index rate used
to discount cashflows was too low, resulting in an incorrect loss
distribution, a credit negative. However, the correction of the
error was offset by high loan prepayments and build up in tranche
credit enhancement since closing. Its updated MILAN analysis for
this transaction resulted in an unchanged expected loss in a base
case scenario, and a decrease to 4.20% in the pool loss at a stress
level consistent with the Aaa (sf) ratings due to changes in the
collateral composition.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in November 2018.
SKOPOS AUTO 2019-1: DBRS Finalizes B Rating on Class E Notes
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Skopos Auto Receivables Trust 2019-1
(SKOP 2019-1 or the Issuer):
-- $73,190,000 Class A Notes rated AA (sf)
-- $19,010,000 Class B Notes rated A (sf)
-- $25,030,000 Class C Notes rated BBB (sf)
-- $16,480,000 Class D Notes rated BB (sf)
-- $11,090,000 Class E Notes rated B (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
(1) Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund and excess
spread. Credit enhancement levels are sufficient to support the
DBRS-projected expected cumulative net loss assumption under
various stress scenarios.
(2) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the rating addresses the
payment of timely interest on a monthly basis and the payment of
principal by the final scheduled distribution date.
(3) The capabilities of Skopos Financial, LLC (Skopos) with regard
to originations, underwriting and servicing.
(4) DBRS has performed an operational review of Skopos and
considers the entity to be an acceptable originator of subprime
automobile loan contracts and an acceptable servicer of subprime
automobile loan contracts with an acceptable backup servicer.
-- The Skopos senior management team has considerable experience
and a successful track record within the subprime auto finance
industry.
(5) The credit quality of the collateral and the performance of
Skopos' auto loan portfolio.
-- Availability of sufficient historical performance data on the
Skopos portfolio.
-- The statistical pool characteristics.
-- The pool is seasoned by approximately 14 months and contains
Skopos originations from Q1 2013 through Q4 2019.
-- The weighted-average (WA) remaining term of the collateral pool
is approximately 57 months.
-- The WA FICO score of the pool is 545.
(6) Systems and Services Technologies, Inc. (SST) will act as the
backup servicer for the transaction.
-- DBRS has performed an operational review of SST and considers
the entity to be an acceptable backup servicer of subprime
automobile loan contracts.
(7) The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
the special-purpose vehicle with Skopos, that the trust has a valid
first-priority security interest in the assets and the consistency
with the DBRS "Legal Criteria for U.S. Structured Finance."
The Skopos 2019-1 transaction represents the third securitization
completed by Skopos and offers both senior and subordinate rated
securities. The receivables securitized in Skopos 2019-1 are
subprime automobile loan contracts secured by new and used
automobiles, light-duty trucks, minivans and sport-utility
vehicles.
The initial credit enhancement for the Class A Notes is 54.80% and
includes a 1.00% reserve account of the aggregate outstanding
principal balance (i.e., sum of the initial pool balance and the
balance of the expected prefunded collateral, which is funded at
inception and non-declining); 8.60% OC of the aggregate outstanding
principal balance; and subordination of 45.20% of the aggregate
outstanding principal balance. Initial Class B enhancement of
42.80% includes the 1.00% reserve account, 8.60% OC and 33.20%
subordination. Initial Class C enhancement of 27.00% includes the
1.00% reserve account, 8.60% OC and subordination of 17.40%.
Initial Class D enhancement of 16.60% includes the 1.00% reserve
account, 8.60% OC and subordination of 7.00%. Initial Class E
enhancement of 9.60% includes the 1.00% reserve account and 8.60%
OC.
Notes: All figures are in U.S. dollars unless otherwise noted.
SOUND POINT XXIV: Moody's Rates $24MM Cl. E Notes 'Ba3'
-------------------------------------------------------
Moody's Investors Service assigned ratings to five classes of notes
issued by Sound Point CLO XXIV, Ltd.
Moody's rating action is as follows:
US$305,000,000 Class A-1 Senior Secured Floating Rate Notes due
2032 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$60,000,000 Class B Senior Secured Floating Rate Notes due 2032
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$27,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
US$24,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
US$24,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
The Class A-1 Notes, the Class B Notes, the Class C Notes, the
Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.
Sound Point CLO XXIV is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of first lien senior secured loans and eligible investments, and up
to 10% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is required to be at least 85%
ramped as of the closing date.
Sound Point Capital Management, LP will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, subject to certain restrictions, the Manager may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets.
In addition to the Rated Notes, the Issuer issued one other class
of secured notes and subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2675
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 5.75%
Weighted Average Recovery Rate (WARR): 47.50%
Weighted Average Life (WAL): 9.1 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
UBS COMMERCIAL 2017-C4: Fitch Affirms B-sf Rating on 2 Tranches
---------------------------------------------------------------
Fitch Ratings affirmed 16 classes of UBS Commercial Mortgage Trust,
commercial mortgage pass-through certificates, series 2017-C4.
UBS 2017-C4
Current Rating Prior Rating
Class A1 90276RBA5; LT AAAsf Affirmed; previously at AAAsf
Class A2 90276RBB3; LT AAAsf Affirmed; previously at AAAsf
Class A3 90276RBD9; LT AAAsf Affirmed; previously at AAAsf
Class A4 90276RBE7; LT AAAsf Affirmed; previously at AAAsf
Class AS 90276RBH0; LT AAAsf Affirmed; previously at AAAsf
Class ASB 90276RBC1; LT AAAsf Affirmed; previously at AAAsf
Class B 90276RBJ6; LT AA-sf Affirmed; previously at AA-sf
Class C 90276RBK3; LT A-sf Affirmed; previously at A-sf
Class D 90276RAL2; LT BBB-sf Affirmed; previously at BBB-sf
Class E 90276RAN8; LT BB-sf Affirmed; previously at BB-sf
Class F 90276RAQ1; LT B-sf Affirmed; previously at B-sf
Class XA 90276RBF4; LT AAAsf Affirmed; previously at AAAsf
Class XB 90276RBG2; LT AA-sf Affirmed; previously at AA-sf
Class XD 90276RAA6; LT BBB-sf Affirmed; previously at BBB-sf
Class XE 90276RAC2; LT BB-sf Affirmed; previously at BB-sf
Class XF 90276RAE8; LT B-sf Affirmed; previously at B-sf
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The affirmations reflect
the overall stable performance and loss expectations of the pool
with no material changes to pool metrics since issuance. One loan
(1.6% of pool) is specially serviced. Two non-specially serviced
loans (1.2%), each less than 1% and not in Top 15, were designated
Fitch Loans of Concern due to performance declines from occupancy
declines.
Minimal Change to Credit Enhancement: As of the September 2019
distribution date, the pool's aggregate balance has been reduced by
1% to $810.6 million from $818.3 million at issuance. Based on the
loans' scheduled maturity balances, the pool is expected to
amortize 9.8% during the term. Thirteen loans (39.3% of pool) are
full-term, interest-only, and 18 loans (33.7%) have a partial-term,
interest-only component.
ADDITIONAL CONSIDERATIONS
Pool Concentration: The top 10 loans comprise 44.4% of the pool.
Loans secured by office, retail and hotel properties represent
24.7%, 23.6% and 19.9% of the pool, respectively. Loans maturities
are concentrated in 2027 (92.3%). Three loans (7.2%) mature in 2022
and one (0.5%) matures in 2026.
Specially Serviced Loan: Floor &Decor/Garden Fresh Market (1.6%
pool) is specially serviced. The loan is secured by a 98,921 sf
single tenant Garden Fresh Market in Mundelein, IL and a 74,900 sf
Floor & Decor in Arlington Heights, IL. The Garden Fresh Market
property, built in 1995, has lease expiration in June 2032, and the
Floor & Decor property, built in 1983 and renovated in 2013, has
lease expiration in May 2032. The loan transferred to special
servicing for non-monetary default in February 2018 after the
borrower did not comply with cash management. A Default letter for
failure to provide required financial reporting was sent to
obligors in November 2018. The loan is current, and the special
servicer is evaluating legal remedies.
Investment-Grade Credit Opinion Loans: At issuance, four loans
(15.5% of pool) were assigned investment-grade credit opinions. 237
Park Avenue (6.2%), Park West Village (4.9%), 245 Park Avenue
(3.8%) and Del Amo Fashion Center (0.6%) were assigned
investment-grade credit opinions of 'BBB+sf', 'BBB-sf', 'BBB-sf'
and 'BBBsf', respectively.
Manhattan Properties: Five Loans (21% of pool) in the top 15 are
secured by properties located in Manhattan: 237 Park Avenue (6.2%),
Park West Village (4.9%), 245 Park Avenue (3.8%), 50 Varick Street
(3.1%) and 4055 10th Street (3%).
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
WAMU MORTGAGE 2007-OA4: Moody's Cuts Cl. 2X-PPP Certs to C
----------------------------------------------------------
Moody's Investors Service downgraded the ratings of three tranches
from three transactions, backed by Option ARM loans, issued by
WaMu.
Complete rating actions are as follows:
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA4
Cl. 2X-PPP*, Downgraded to C (sf); previously on Dec 20, 2017
Upgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA5
Trust
Cl. 1X-PPP*, Downgraded to C (sf); previously on Dec 20, 2017
Upgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-AR6 Trust
Cl. 2X-PPP*, Downgraded to C (sf); previously on Dec 20, 2017
Confirmed at Ca (sf)
*Reflects Interest Only Classes
RATINGS RATIONALE
The downgrade of the ratings to C(sf) reflects the nonpayment of
interest for an extended period of 12 months. For these bonds, the
coupon rate is subject to a calculation that has reduced the
required interest distribution to zero. Because the coupon on these
bonds is subject to changes in interest rates and/or collateral
composition, there is a remote possibility that they may receive
interest in the future.
The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in Februay 2019 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
on Februay 2019.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate
The unemployment rate fell to 3.7% in August 2019 from 3.8% in
August 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 year. Deviations from this central
scenario could lead to rating actions in the sector.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the referenced bonds and/or pools.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2019. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
WELLS FARGO 2015-C31: Fitch Affirms BB-sf Rating on Class E Certs
-----------------------------------------------------------------
Fitch Ratings affirmed 14 classes of Wells Fargo Commercial
Mortgage Trust, Series 2015-C31 pass-through certificates and
revised the Rating Outlook on one class.
WFCM 2015-C31
Class A-2 94989WAQ0; LT AAAsf Affirmed; previously at AAAsf
Class A-3 94989WAR8; LT AAAsf Affirmed; previously at AAAsf
Class A-4 94989WAS6; LT AAAsf Affirmed; previously at AAAsf
Class A-S 94989WAU1; LT AAAsf Affirmed; previously at AAAsf
Class A-SB 94989WAT4; LT AAAsf Affirmed; previously at AAAsf
Class B 94989WAY3; LT AA-sf Affirmed; previously at AA-sf
Class C 94989WAZ0; LT A-sf Affirmed; previously at A-sf
Class D 94989WBB2; LT BBB-sf Affirmed; previously at BBB-sf
Class E 94989WAD9; LT BB-sf Affirmed; previously at BB-sf
Class F 94989WAF4; LT B-sf Affirmed; previously at B-sf
Class PEX 94989WBA4; LT A-sf Affirmed; previously at A-sf
Class X-A 94989WAV9; LT AAAsf Affirmed; previously at AAAsf
Class X-B 94989WAW7; LT AA-sf Affirmed; previously at AA-sf
Class X-D 94989WAX5; LT BBB-sf Affirmed; previously at BBB-sf
KEY RATING DRIVERS
Stable Loss Expectations: Since issuance, base case loss
expectations have remained largely stable. While there has been
some collateral underperformance, overall performance of the pool
has been stable. Fitch is monitoring the performance of two malls
in the top 15 (5%) of the pool, given exposure to anchors JCPenney
and Macy's as well as concerns with tenant rollover and declining
rental revenue that have the potential to impact future
performance.
There are two loans in special servicing (2.5%); however, minimal
losses are expected, as both continue to perform, and a return to
the master servicer is likely. The largest loan, Windsor Square, is
collateralized by an approximately 296,000-sf shopping center in
Knoxville, TN. The loan transferred to special servicing following
the appointment of an SEC receiver as a result of securities fraud
charges on the prior sponsor. The sponsor has since been replaced
and the loan has been brought current, though the new sponsor is
disputing the payment of some outstanding fees. The other loan in
special servicing, Holiday Inn - Lafayette (1.2%), is
collateralized by a 147-key hotel located in Lafayette, IN. The
loan transferred to special servicing for monetary default
following low cash flow, which was the result of a PIP. The sponsor
has since brought the loan current and it is expected to return to
master servicing in the near future.
Improved Credit Enhancement: The pool has paid down approximately
4.0% since issuance, which has resulted in a slight increase in
credit enhancement. In addition, six loans, totaling approximately
3.3% of pool balance, are defeased. In addition, five loans (1.8%)
of the pool mature in 2020 and are expected to payoff, two of which
are defeased (0.9%), and three (0.9%) are collateralized by
properties with investment-grade tenants on long-term leases.
Alternative Loss Consideration: Two loans totaling approximately 5%
of the pool are collateralized by regional malls in secondary or
tertiary markets, including Newport News, VA and Moscow, ID. Both
of these malls reflect exposure to anchor tenants that have
recently faced secular challenges, including the Palouse Mall loan
(2.4%), which reflects a vacant Macy's anchor following a round of
store closures in 2016.
The Patrick Henry Mall loan (2.6%) is collateralized by a regional
mall located in Newport News, VA. Fitch's base case loss included
an additional 15% haircut to the reported NOI given recent declines
in occupancy, concern with upcoming rollover, weak anchor exposure,
and tertiary location. Fitch ran an additional sensitivity scenario
that assumed a 25% loss severity on this loan given these
concerns.
The Palouse Mall loan (2.4%) is collateralized by a regional mall
located in Moscow, ID. Fitch's base case loss included an
additional 15% haircut to the reported NOI given the property's
tertiary location and given Macy's, which was previously dark, no
longer has a lease in place. Fitch ran an additional sensitivity
scenario that assumed a 50% loss severity on this loan given these
concerns.
The revision of the Rating Outlooks on class E to Stable from
Negative accounts for these additional assumed losses in the
sensitivity scenario, as well as assuming the defeased loans and
loans maturing in 2020 pay in full.
High Hotel Concentration: Loans collateralized by hotel properties
comprise 20.7% of the pool, including three within the top 10. The
largest two hotels (9.5%) are underperforming bank underwritten
levels, though none of the loans have been labeled Fitch Loans of
Concern. The pool's hotel concentration is greater than the 2015
and 2014 vintage averages of 17% and 14.2%, respectively. For loans
secured by hotel assets, Fitch applied an additional stress to the
most recently reported full-year NOIs to reflect the peaking
performance outlook of the sector.
Granular Pool: The top 10 loans represent 38.3% of the pool by
balance. This is well below the year-to-date 2015 average of 49.3%
and the 2014 average of 50.5%.
RATING SENSITIVITIES
The Rating Outlook on class E has been revised to Stable from
Negative based on improving performance related to the Palouse Mall
(2.4%), stable performance of the Patrick Henry Mall, as well as
increased credit enhancement due to paydown and defeasance. In
addition, further increases are expected given the upcoming 2020
maturities. The revision of the Rating Outlook accounts for an
additional sensitivity scenario that assumed a 25% loss severity on
the Patrick Henry Mall and 50% loss severity on the Palouse Mall.
While upgrades are not expected in the near term, they are possible
with significant increases in credit enhancement and stable to
improved performance of the pool. Downgrades are possible should
either of the regional malls experience declines in collateral
performance.
WELLS FARGO 2019-3: DBRS Finalizes BB Rating on Class B-4 Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage
Pass-Through Certificates, Series 2019-3 (the Certificates) issued
by Wells Fargo Mortgage Backed Securities 2019-3 Trust as follows:
-- $461.0 million Class A-1 at AAA (sf)
-- $461.0 million Class A-2 at AAA (sf)
-- $345.7 million Class A-3 at AAA (sf)
-- $345.7 million Class A-4 at AAA (sf)
-- $115.2 million Class A-5 at AAA (sf)
-- $115.2 million Class A-6 at AAA (sf)
-- $276.6 million Class A-7 at AAA (sf)
-- $276.6 million Class A-8 at AAA (sf)
-- $184.4 million Class A-9 at AAA (sf)
-- $184.4 million Class A-10 at AAA (sf)
-- $69.1 million Class A-11 at AAA (sf)
-- $69.1 million Class A-12 at AAA (sf)
-- $74.9 million Class A-13 at AAA (sf)
-- $74.9 million Class A-14 at AAA (sf)
-- $40.3 million Class A-15 at AAA (sf)
-- $40.3 million Class A-16 at AAA (sf)
-- $54.3 million Class A-17 at AAA (sf)
-- $54.3 million Class A-18 at AAA (sf)
-- $515.3 million Class A-19 at AAA (sf)
-- $515.3 million Class A-20 at AAA (sf)
-- $515.3 million Class A-IO1 at AAA (sf)
-- $461.0 million Class A-IO2 at AAA (sf)
-- $345.7 million Class A-IO3 at AAA (sf)
-- $115.2 million Class A-IO4 at AAA (sf)
-- $276.6 million Class A-IO5 at AAA (sf)
-- $184.4 million Class A-IO6 at AAA (sf)
-- $69.1 million Class A-IO7 at AAA (sf)
-- $74.9 million Class A-IO8 at AAA (sf)
-- $40.3 million Class A-IO9 at AAA (sf)
-- $54.3 million Class A-IO10 at AAA (sf)
-- $515.3 million Class A-IO11 at AAA (sf)
-- $10.8 million Class B-1 at AA (sf)
-- $7.1 million Class B-2 at A (sf)
-- $4.3 million Class B-3 at BBB (sf)
-- $1.6 million Class B-4 at BB (sf)
Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8,
A-IO9, A-IO10 and A-IO11 are interest-only certificates. The class
balance represents a notional amount.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-9, A-10, A-11, A-13,
A-15, A-17, A-19, A-20, A-IO2, A-IO3, A-IO4, A-IO6 and A-IO11 are
exchangeable certificates. These classes can be exchanged for a
combination of initial exchangeable certificates as specified in
the offering documents.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15 and A-16 are super-senior certificates.
These classes benefit from additional protection from senior
support certificates (Classes A-17 and A-18) with respect to loss
allocation.
The AAA (sf) ratings on the Certificates reflect the 5.00% of
credit enhancement provided by subordinated certificates in the
pool. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect
3.00%, 1.70%, 0.90% and 0.60% of credit enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of first-lien,
fixed-rate, prime residential mortgages. The Certificates are
backed by 750 loans with a total principal balance of $542,374,657
as of the Cut-Off Date (September 1, 2019).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average loan age of six months. All of the mortgage loans
were originated by Wells Fargo Bank, N.A. (Wells Fargo) or were
acquired by Wells Fargo from its qualified correspondents. In
addition, Wells Fargo is the Servicer of the mortgage loans, as
well as the Mortgage Loan Seller and Sponsor of the transaction.
Wells Fargo will also act as the Master Servicer, Securities
Administrator and Custodian. DBRS rates both Wells Fargo's
Long-Term Issuer Rating and Long-Term Senior Debt rating at AA with
Stable trends and rates its Short-Term Instruments rating at R-1
(high) with a Stable trend.
Wilmington Savings Fund Society, FSB will serve as Trustee. Opus
Capital Markets Consultants, LLC will act as the Representation and
Warranty (R&W) Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include
high-quality underlying assets with clean payment histories,
well-qualified borrowers, a highly rated R&W provider and
satisfactory third-party due diligence.
Although Wells Fargo had been a prolific residential
mortgage-backed securities issuer pre-crisis, the company recently
re-entered the securitization market with its first prime jumbo
transaction in October 2018 after an extensive hiatus. As a result,
Wells Fargo has limited publicly available performance history on
securitized loans. Mitigating factors include robust performance on
Wells Fargo's non-agency originations since 2011, satisfactory
operational risk assessments and a comprehensive due diligence
review.
In addition, this transaction has an R&W framework that contains
certain weaknesses, including knowledge qualifiers and sunset
provisions that allow for certain R&Ws to expire within three to
six years after the Closing Date. The framework is perceived by
DBRS to be limiting compared with traditional lifetime R&W
standards in certain DBRS-rated securitizations. To capture the
perceived weaknesses, DBRS reduced the originator score in this
pool. A lower originator score results in increased default and
loss assumptions and provides additional cushions for the rated
securities.
Notes: All figures are in U.S. dollars unless otherwise noted.
WFRBS COMMERCIAL 2011-C2: Moody's Affirms Class F Certs at B2
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings on eight classes in
WF-RBS Commercial Mortgage Trust 2011-C2, Commercial Mortgage
Pass-Through Certificates, Series 2011-C2, as follows:
Cl. A-4, Affirmed Aaa (sf); previously on May 2, 2018 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on May 2, 2018 Affirmed Aaa
(sf)
Cl. C, Affirmed Aa2 (sf); previously on May 2, 2018 Affirmed Aa2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on May 2, 2018 Affirmed Baa1
(sf)
Cl. E, Affirmed Ba1 (sf); previously on May 2, 2018 Affirmed Ba1
(sf)
Cl. F, Affirmed B2 (sf); previously on May 2, 2018 Affirmed B2
(sf)
Cl. X-A*, Affirmed Aaa (sf); previously on May 2, 2018 Affirmed Aaa
(sf)
Cl. X-B*, Affirmed Ba3 (sf); previously on May 2, 2018 Affirmed Ba3
(sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings on six P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value ratio,
Moody's stressed debt service coverage ratio, and the transaction's
Herfindahl Index, are within acceptable ranges.
The ratings on two IO classes were affirmed based on the credit
quality of their referenced classes.
Moody's rating action reflects a base expected loss of 2.2% of the
current pooled balance, compared to 0.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 1.2% of the
original pooled balance, compared to 0.4% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except interest-only
classes were "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in July 2017 and "Moody's Approach to Rating Large
Loan and Single Asset/Single Borrower CMBS" published in July 2017.
The methodologies used in rating interest-only classes were
"Approach to Rating US and Canadian Conduit/Fusion CMBS" published
in July 2017, "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published in February 2019.
DEAL PERFORMANCE
As of the September 17, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 47% to $686 million
from $1.3 billion at securitization. The certificates are
collateralized by 37 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans (excluding
defeasance) constituting 51% of the pool. One loan, constituting 8%
of the pool, have investment-grade structured credit assessments.
Fourteen loans, constituting 35% of the pool, have defeased and are
secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 12, compared to the 15 at Moody's last review.
Seven loans, constituting 20% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool and there are currently
no loans in special servicing.
Moody's has assumed a high default probability for one poorly
performing loan. The Aviation Mall loan (3.0% of the pool) is
secured by an anchored retail property located in Queensbury, New
York, approximately 50 miles north of Albany. Loan performance has
been declining due to low occupancy. The property was less than 50%
occupied as of June 2019; after anchor space for Sears and Bon-Ton
went dark.
Moody's received full year 2018 operating results for 100% of the
pool, and full or partial year 2019 operating results for 86% of
the pool. Moody's weighted average conduit LTV is 82%, compared to
77% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 19.8% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.57X and 1.34X,
respectively, compared to 1.63X and 1.37X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the Borgata Ground
Leases Loan ($53.7 million -- 7.8% of the pool), which is secured
by five parcels of land underlying portions of the Borgata Hotel
Casino & Spa Complex in Atlantic City, New Jersey. The property is
leased pursuant to four separate ground leases, all of which expire
in December 2070. Moody's structured credit assessment and stressed
DSCR are baa1 (sca.pd) and 1.26X, respectively, compared to baa1
(sca.pd) and 1.23X at the last review.
The top three conduit loans represent 22% of the pool balance. The
largest loan is The Arboretum Loan ($79.3 million -- 11.6% of the
pool), which is secured by a Wal-Mart anchored retail center
totaling 563,000 square feet (SF) located in Charlotte, North
Carolina. The property consists of 12 one-story buildings, five pad
sites and a 16-screen movie theater. Additional tenants at the
property are Harris Teeter, Regal Cinemas, Bed Bath and Beyond and
Barnes and Noble. As of June 2019, the property was 99% leased, the
same as at Moody's last review. The property is also encumbered by
$15.0 million mezzanine debt. Moody's LTV and stressed DSCR are 80%
and 1.22X, respectively, compared to 81% and 1.20X at the last
review.
The second largest loan is the Patton Creek Loan ($39.4 million --
5.7% of the pool), which is secured by a 484,706 SF power shopping
located in Hoover, Alabama. The shopping center contains a mix of
retail anchor and in-line shop tenants. The largest tenants are
Dick's Sporting Goods, Carmike Cinemas and Buy Buy Baby. The
property features a 15-screen, stadium style seating movie theater.
As of June 2019, the property was 78% occupied compared to 90% at
last review. The decrease in occupancy is mainly due to the
Christmas Tree Shops space (7.2% of the NRA) which is now vacant as
a result of the their departure ahead of January 2022 lease
expiration. Moody's LTV and stressed DSCR are 101% and 1.07X,
respectively.
The third largest loan is the Port Charlotte Town Center Loan
($34.2 million -- 5.0% of the pool), which is secured by 490,000 SF
of NRA contained within a 774,000 SF super regional mall in Port
Charlotte, Florida. The mall is anchored by JC Penney and a
16-screen Regal Cinemas, which are all part of the collateral.
Additionally, Dillard's, Macy's and Bealls are anchors at the
property but not part of the collateral. The property is located
along Tamiami Trail (US 141). As of June 2019, the property was 85%
leased compared to 95% in December 2017. The property is also
encumbered by a $7.5 million B-note. Moody's LTV and stressed DSCR
are 92% and 1.47X, respectively, compared to 72% and 1.50X at the
last review.
[*] S&P Takes Various Actions on 111 Classes From 24 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 111 classes from 24 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2004 and 2007. All of these transactions are backed by
alternative-A, subprime, neg-am, and small-balance commercial
collateral. The review yielded nine upgrades, 25 downgrades, 74
affirmations, and three discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Collateral performance/delinquency trends;
-- Historical missed interest payments;
-- Available subordination and/or overcollateralization;
-- Erosion of or increases in credit support; and
-- Tail risk.
Rating Actions
"The rating changes reflect our opinion regarding the associated
transaction-specific collateral performance and/or structural
characteristics, and/or reflect the application of specific
criteria applicable to these classes. The affirmations of ratings
reflect our opinion that our projected credit support and
collateral performance on these classes has remained relatively
consistent with our prior projections," S&P said.
S&P raised its ratings on class A-1 from Merrill Lynch Alternative
Note Asset Trust Series 2007-OAR2 to 'AA+ (sf)' from 'BBB+ (sf)'
and on class 6-A-1 from Alternative Loan Trust 2005-J1 to 'BBB+
(sf)' from 'B (sf)' due to expected short duration. Based on the
classes' average recent principal allocation, these classes are
projected to pay down in a short period of time relative to
projected loss timing, which limits their exposure to potential
losses."
S&P lowered its rating on class M-3 from Home Equity Mortgage Loan
Asset-Backed Trust Series INABS 2005-B to 'CCC (sf)' from 'BB+
(sf)' after assessing the impact of missed interest payments on the
class. The rating agency applied its interest shortfall criteria as
stated in "Criteria | Structured Finance | General: Structured
Finance Temporary Interest Shortfall Methodology," published Dec.
15, 2015, which impose a maximum rating threshold on classes that
have incurred missed interest payments resulting from credit or
liquidity erosion. In applying the criteria, S&P looked to see if
this class received additional compensation beyond the imputed
interest due as direct economic compensation for the delay in
interest payments, which this class did. Additionally, this class
has a delayed reimbursement provision. The downgrade is based on
S&P's cash flow projections used in determining the likelihood that
the missed interest payments would be reimbursed under various
scenarios.
A list of Affected Ratings can be viewed at:
https://bit.ly/2mNB84a
[*] S&P Takes Various Actions on 124 Classes From 48 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 124 classes from 48 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2005 and 2008. All of these transactions are backed by
Alternative-A, document deficient, small balance commercial,
re-performing, and subprime collateral. The review yielded 48
upgrades, seven downgrades, 65 affirmations, and four
discontinuances.
ANALYTICAL CONSIDERATIONS
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Erosion of or increases in credit support;
-- Historical interest shortfalls or missed interest payments;
-- Priority of principal payments;
-- Available subordination and/or overcollateralization; and
-- Expected short duration.
RATING ACTIONS
The ratings list provides the rationales for rating transitions.
The affirmations reflect S&P's opinion that its projected credit
support and collateral performance on these classes has remained
relatively consistent with its prior projections.
In reviewing the classes with observed interest shortfalls, S&P
applied its interest shortfall criteria as stated in "Structured
Finance Temporary Interest Shortfall Methodology," published Dec.
15, 2015, which impose a maximum rating threshold on classes that
have incurred interest shortfalls resulting from credit or
liquidity erosion. In applying the criteria, S&P looked to see if
the applicable class received additional compensation beyond the
imputed interest due as direct economic compensation for the delay
in interest payment, which these classes did not. Therefore, in
these instances, the rating agency used the maximum length of time
until full interest is reimbursed as part of its analysis to assign
the rating on each class. This resulted in S&P's lowering of class
M-2 from CWABS Asset-Backed Notes Trust 2005-SD3.
Classes A-3A and A-3B from Bayview Commercial Asset Trust 2007-6
were raised to 'B (sf)' from 'D (sf)'. Class A-3 from Bayview
Commercial Asset Trust 2007-5 and Class A-1 from Bayview Commercial
Asset Trust 2007-4 were raised to 'B (sf)' and 'CCC (sf)',
respectively, from 'D (sf)'. These classes were previously
downgraded to 'D (sf)' because of missed interest payments. These
missed interest payments have been fully reimbursed and S&P
believes these classes have credit support that is sufficient to
withstand losses at these higher rating levels.
S&P raised its ratings on four classes due to expected short
duration. Based on the classes' average recent principal
allocation, these classes are projected to pay down in a short
period of time relative to projected loss timing, which limits
their exposure to potential losses.
A list of Affected Ratings can be viewed at:
https://bit.ly/2ov8m8T
*********
Monday's edition of the TCR delivers a list of indicative prices
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